Imagine I install some app from a trusted third party and am walked through the steps to toggle the system setting to allow installs. Then a year later when I am installing some untrustworthy tool, I am no longer warned (at least not to the same severity) that this tool is unsigned. It leaves me more likely to install that software and end up putting myself at risk in the future.
Take for example the Android settings for installing third party apps. I can enable it on a per-app basis, but that permission persists for the lifetime of my device. If I allow Chrome to install apps for me, that enables apps from ANY site from now until the EOL of my device, to more easily make their way onto my phone.
If I am asked every time (or even periodically) I am given a moment to consider if I know what I am doing.