For a technical user, being able to install any software you like means you have full control. But another perspective is that if someone else installs the wrong software (such as if a housemate installs spyware), your phone could betray you.

Security-conscious people might actually prefer to own hardware-limited devices. An example of this is having a camera with a physical shutter, or a light that shows camera activity that can't be disabled by software.

Similarly, some people might prefer to own devices that don't allow side-loading at all, since it disables a potential vulnerability. Maybe it would be best if Google allowed this to be a configurable option when buying an Android phone. (I suppose they could buy an iPhone, though.)