There's a tiny little arrow in the corner to indicate that it's a shortcut.

But this really confused me when I first started using macOS as well. You're just expected to know that the applications folder in the disk image you just downloaded isn't actually inside of the disk image.

When I first opened a .dmg, I thought the arrow symbolised some kind of progress bar and waited for a moment to let it do its installation. That didn't work, so I copy-pasted the folder into my Applications folder manually. When I later opened a different .dmg that had instructions about how I needed to drag and drop myself, I actually realised what I needed to do.