If you download and install apps from the internet or directly from a developer, macOS continues to protect your Mac.
When you install Mac apps, plug-ins, and installer packages from outside the App Store, macOS checks the Developer ID signature to verify that the software is from an identified developer and that it has not been altered. By default, macOS Catalina and later also requires software to be notarized, so you can be confident that the software you run on your Mac doesn't contain known malware. Before opening downloaded software for the first time, macOS requests your approval to make sure you aren’t misled into running software you didn’t expect. Running software that hasn’t been signed and notarized may expose your computer and personal information to malware that can harm your Mac or compromise your privacy.