Edge has no way to find out that the random .exe you just downloaded is Microsoft Teams and has not been tampered with. It would be reckless to not warn the user about downloading files from the web.
It's not inherently bad, at least from the user's perspective, but Windows Defender will make you click "more info" or something before giving you the "run anyways" button since it thinks it's a risk. I've never gotten a virus doing this, though
On MacOs it's so stupid. Instead of double-clicking on the new program to open it, you need to right-click and hit "Open" from the drop down menu. Only then does it even give you the option to open the program anyway.
Because viruses fake a licence so they don't get detected that easily. Which means the extremely expensive license you have to buy from Microsoft is useless for actual security.