On Android, there isn't really a scary warning. You have to allow whatever app you're installing the apk from to install apps form "unknown sources". That's it. You only have to do it once per source.
On iOS, I'm sure the EU regulators will demand that Apple at least tone down their warnings.
I didn't even read the warnings to install fortnite, but it seemed Apple tried to make it as confusing as possible. Click install, go to settings, white list the provider, go back to the browser, click back to try installing again ... and then finally, click "yes I am sure" then click "yes I am sure" like 3 more times.