Not any more dangerous than installing a random exe. And a GUI that opens when you click one could explain that danger much better than what currently happens: people blindly use sudo dpkg and that’s it.

Most end-user software is not in Debian/Ubuntu repos. Sublime Text, Discord, Anydesk, Google Earth, Ente Photos, Synergy, Steam, NordVPN… The list goes on. You download a Deb from their website.