Code signing question

The mighty google is failing me here.

On Windows and macOS, apart from the game executable, which files do I need to codesign? Do I sign the dll files under Data with my own certificate, or are they signed already (in which case, is it OK that they're signed with a different certificate than the executable)?

 

Edit: Turns out the dlls are unsigned. I'm going to sign them with my certificate. Please correct me if this is the wrong thing to do.

Edit again: I contacted support from the ones who issued my code signing certificate, and they told me I should only sign my own code and not third party dlls. So, I guess I have a final answer.