Android's app protection mechanisms are useful, but their presence should not become a reason to ignore where a package came from. A sound installation decision combines source, need, compatibility and the device's security feedback.

Keep protection enabled
Google Play Protect can check apps and respond to potentially harmful behavior. Follow its current guidance and do not disable it just because an unknown download page says a warning is normal. A warning deserves investigation through trusted channels.
Read the absence of a warning carefully
No warning is not a guarantee that an app is appropriate for every purpose or that its privacy practices meet your needs. Detection and review systems have limits. Continue to evaluate the publisher, the requested capabilities and whether you need the app at all.
Use a source hierarchy
Prefer the developer's official supported distribution route. If a page imitates a brand or redirects repeatedly, that is a reason to stop and locate the official source independently. Do not treat popularity claims or a download counter as technical evidence.
Respond to a flagged app deliberately
Read the device's explanation and the official support instructions. Preserve the error text without exposing private information. If you believe an official app is incorrectly flagged, contact its publisher through a verified channel instead of weakening the phone's protection to complete the install.