

It really should be a 3 level setting, disallow/allow & check/allow. Where the latter option is available but users are strongly advised to only select it if they are sure. Because I would not be surprised if a lot of sideloaded content comes from warez sites and is infested with malware so allowing & checking is still preferable and protects people to some extent.
Code signing offers slight protection from malware but not as you might think. If a company signs an installer, or executable then it tells you it came from them but not what it does. It could still be malicious, or it could be inadvertently bundled with malware in DLLs or scripts and you wouldn’t know. You’re just hoping the company has done its due diligence and you trust them to run.
Microsoft does have an antivirus system on top and fingerprints downloads too and applies some kind of trust score that is better if an exe is signed. There is probably no single mitigation that stops malware infection but apply lots of smaller mitigations in in depth and most people will be safe.
The irony is Microsoft still lets people run files ending with .scr way too easily. Much of the malware on torrent websites is a file ending with .scr knowing the OS will hide the extension, e.g. movie.mp4.scr appears as movie.mp4 in File Explorer and people click through and get infected.