[bloomca]

macOS warns you literally about every downloaded app not from MAS (signed!), unless you build it yourself or remove quarantine manually.

I think it is mostly about expectations, macOS trained people that it is relatively safe to install signed apps. If your app is unsigned, Gatekeeper will refuse to run it.

[bpye]

Do they have to be from the App Store, or "just" notarized?

[LoganDark]

Notarized works just fine.