To a large extent, macOS has a different concept of ‘installing’. By far most programs are distributed as so-called ‘app bundles’. These are what you see in your Applications directory. They have an ‘.app’ extension, which is hidden by default (see picture). App bundles are self-contained programs and they immediately run. They can technically run from any location, it does not matter where you put them. By convention, they are put in the Applications directory. In Windows, most programs live in ‘C:\Program Files’ by default, in separate folders each filled with files. There is no meaningful definition of ‘installing’ in relation to app bundles, other than copying/moving them to your Applications directory. Uninstalling an app bundle is as easy as moving it to Trash.
Sometimes, applications are distributed as installer packages, very much like on Windows. They appear as ‘.pkg’ files (usually with a brown/yellow package icon). These are opened by Apple’s Installer application. Installer will then follow the developer’s instructions and install the application. Installer packages are usually used when some additional setup or configuration is necessary. For example, if the program needs to start immediately after booting (even before logging in) or if it contains kernel extensions (such as drivers). Packages are risky for the reasons you mentioned, so I would be careful when using them, especially when they ask for administrator privileges. Applications that you install with such packages are a bit tricky to uninstall. Most often, the developer will give you detailed instructions or an uninstallation program/script.
The App Store uses installer packages under the bonnet too, but the installation is handled automatically. App Store applications should be deleted by going to Launchpad, where you click and hold the app icon and press on the small X icon on it.