This is not a valid argument for the average Android user, since they would have to root their device first. Jailbreaking an iPhone would also allow you to install anything you like.
to install anything useful to your phone you have to root it. e.g. try installing tethering or VPN apps when your operator image denies it.
also, all processes that involve rooting/flashing will involve one step that you remove the firmware locks from the device, allowing a thief to peek at your data at will even if the phone is password protected.
*downvoters, also contribute to the discussion saying how you enable tethering on, say, a thunderbolt bought from at&t. thank you.
Separately, if you managed to buy a Thunderbolt from AT&T you have much bigger problems than getting tethering working. The Thunderbolt is a Verizon-specific CDMA/LTE phone that doesn't support any of AT&T's networks (AT&T's LTE is on a different band).
and i wasn't saying 'non-google-store-sources-aka-unkown-sources is a bad thing. i was just saying it's not enough to 'do what you want' with your device.