Yes, especially if you're Valve and you operate the preeminent game store.

which also charges similarly.

Yup - I just bought Baldurs Gate 3 for Mac on GoG

You're confusing code signing (which only requires a developer account) with store publishing.

I don't have a single store-installed app on my mac and I only get warnings (once) from 1-2 open source apps whose developers don't code-sign.

Steam games don't have scary dialogs.

Neither do apps distributed directly by third parties as long as they are signed etc. (you just need the $100/300 per year apple dev. account for that).