Yes, officially Windows 10 OS is not supported operating system for SMP server/SDK. You can check PAM for the same.
Oh wait, you can install it other way. Right click on setup file > Troubleshoot compatibility > Troubleshoot program > program worked in earlier versions of windows but wont install or run now >select any (or windows 7)
Note: As windows 10 is not an official supported OS for SMP server/OS, SAP may not provide any kind of support in case you encounter any kind of issues. #HappyLearning
Regards,
JK