It's truly a terrible UX decision that Apple's left in place because of apathy. (And presumably thinking someone wants to install software through the Mac App Store!?)

They should offer a first-class way of "installing downloaded apps" and push developers to use it. I would say use an Installer package but I can't remember if there's issues with it not being a single file. So a zipped installer package. And then make that not have an unnecessary 12 step wizard.