A power user wouldn't (shouldn't) expect a device merely using USB for power to pop up anything on the PC it's plugged into. That would be a dead giveaway that it's doing something it shouldn't be doing.
However, if this happened on my Mac I would immediately be skeptical.
What does the software do? I assume it asks for permission and you decline? In a couple of decades of buying USB keyboards I have never let one install software and I have never noticed any problems.