The analogous message for untrusted webpages is "Go ahead, browse, because this is in the sandbox of the browser.".
And, when you type stuff into a textbox and POST it over HTTP, a text box often pops up the first time, saying "This is insecure, fyi".
For text-only emails, it's plenty fine. For emails with images, there's some privacy issues, and for emails with attachments, even more issues.
For the average user that won't check MD5s, saying "This can't be trusted, throw it out" is probably the right idea. There's a lot of history of people telling others their password for a candy bar, so anything that users really want they'll get, scarygram or no.
So is Apple's CA the only way to sign these? Or signing the DMG is a well known process using any cert? Just curious... coz if it's Apple only, then this sounds like payola for being able to run on OS X.
AKA every single piece of Mac Software you can download outside the MAS today.
Do people really think that every package that is out there is going to be updated with a signature? Or will people download something, run into this prompt, and turn off the setting? I think the latter.
If you don't want your users to see that message, make sure your stuff is signed.