Ideal solution: download .app inside .zip. Double-clicking expands it into /Applications, deletes the zip, and opens the app, which is not far from what regular zips do. Or xip if they want signing.

The Windows way is inherently clearer than what Mac does now. You always open what it gives you, and you don't need to be told to do anything else. Also, move to trash doesn't exactly uninstall a Mac app right now.