Privacy aside, if this feature didn't exist, you'd have people complaining (hey, even i'd probably be one of them) that applications they paid for are obscured from being found again.
The big difference here is that you can sideload other apps if you want. So you have the convenience of a centralized app source without the insane restriction that you need the consent of some corporate third party to install software on your (mobile) computer.
But you can sideload other apps on Windows 8. You can bypass smartscreen if you want to override it, or you can turn it off entirely. What's the difference?