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.
i actually vividly remember when they started introducing that flow... the first time i came across it was a total knee-jerk negative reaction. unrelated to that, i switched to windows a few years later (my old imac wasnt good enough to play world of warcraft)... but when i came back to it 10+ years later, it still felt strange.
i mean its neat from a minimalism perspective, but the decision to not ship with a regular installation UI in OG macOS X came with the tradeoff of not cleanly _uninstalling_ software either. config files etc were always left over.
but i guess - as Apple keeps locking down good old macOS X in favour of forcing software to go through the Apple Store this is going away as a sideeffect?