Note that this can be a security risk, as it allows installation of apps from outside the Play Store, which could potentially contain malware. (howtogeek.com)
This is an opt - in feature, and the default setting is to allow installation of apps from anywhere. (blogs.windows.com)
Do note that there is another policy setting Turn off Automatic Download and Install of updates, which will enable or disable the automatic download AND installation of app updates. (thewindowsclub.com)