Well, at least on Android you can just install the apk.
What could possibly go wrong?
In this case, it is a severe disadvantage, because it exposes unsophisticated users to malware and spam just so that they can install clones of a bad game they've heard about because of a media flap.
PS. a non-market app still has the same permissions model - you can check what permissions it wants and decide whether to install it or not.