Would you really do that though? Or would you run a random exe from a random zip hosted from a random website?
Better sandboxing would be welcome, but it coming to desktop slowly (and it typically can only limit damage from a malicious app, but not prevent it fully).
Web-apps come with own security trade-off: infrastructure can have poor security and data can be leaked (and or destroyed) by hackers, a government can request all you data without you knowing about this, your data can be abused by an web-app creator e. g. sold to an Ad targeting company.
Don't get me wrong, I'd much prefer if Windows had implemented proper application sandboxing.