Mac apps have never bern restricted to the App Store, so I’m not sure the idea of “sideloading” makes sense to apply there. I still know what you mean though.
They really aren't. Anything signed will load, whether you download it from the App Store or not.
Yes, there are some extra steps involved in loading unsigned programs, and the process is designed to make it sound a bit scary. I think that's the right tradeoff, reasonable people may differ.
But we're talking about the App Store vs. not-the-App-Store, and again, there is nothing which could reasonably be described as a restriction involved in installing the same binary from either of those sources. The only difference is the details of where it comes from and how to install it, and clicking on a dmg or pkg is still a fully-supported workflow with no warnings or other interference.