I think the most confusing concept in this process for new users is the shortcut inside the disk image because it breaks the isolation metaphor.
So, you download a file, and it's something called an "image" which opens in Finder like you'd inserted an external thumb drive. Fine. You open the image, and inside is... Your own Applications folder? Wait, how can the file I downloaded contain all of my apps?
This kind of indirection is natural to developers and other advanced users: the file you got from the internet doesn't really know about your Applications, it's a link to a generic system location that gets resolved by Finder. But for less advanced users it's oddly circular: this virtual disk that came from the internet has my data in it. It's something that never happens with an actual thumb drive.
There's a tiny little arrow in the corner to indicate that it's a shortcut.
But this really confused me when I first started using macOS as well. You're just expected to know that the applications folder in the disk image you just downloaded isn't actually inside of the disk image.
When I first opened a .dmg, I thought the arrow symbolised some kind of progress bar and waited for a moment to let it do its installation. That didn't work, so I copy-pasted the folder into my Applications folder manually. When I later opened a different .dmg that had instructions about how I needed to drag and drop myself, I actually realised what I needed to do.