The answer is not always, but sometimes: discovering unintended states or transitions in the execution contract of a program is a common building block for exploits. However, proving that the execution contract of a program can be coerced into representing computations in a TC language doesn't necessarily prove that you can do anything interesting.
Complex formats like PDF are a good example of this: you can probably contrive a PDF input such that the parser's state represents a minimal (and TC) language while interpreting it (e.g. a language with a few mathematical operators and a "store" primitive), but that doesn't magically get you network access or arbitrary memory read/writes. You need to show that said language, when programmed in, can affect the overall execution contract in a way that violates high-level assumptions.
Some resources (FD: my company's) on the subject:
* https://blog.trailofbits.com/2019/11/01/two-new-tools-that-t...
* https://blog.trailofbits.com/2018/10/26/the-good-the-bad-and...
One, can certain input data cause a large usage of computing resources (processing time or memory)? Non-TC mechanisms have repeatedly failed this test: ZIP bombs and XML entity bombs are notorious examples. On the other hand, you can easily put a resource cap on an interpreter of a theoretically TC language and be safe.
Two, can the untrusted code access resources that it shouldn’t (memory, files, sockets)? That’s mostly a quality of implementation issue, not one of Turing completeness. JavaScript interpreters have certainly been vulnerable to various exploits, but so have JPEG decoders. I don’t think TC is the issue here. (However, this is complicated a bit by side-channel attacks à la Spectre. I’m not sure how TC factors into those.)
In summary, I’m not convinced that Turing completeness is all that relevant for security. Am I wrong here?
For example, it's a lot easier to write a secure Brainfuck interpreter (a very simple Turing complete language that can only access STDIN and STDOUT) than a program that securely extracts a ZIP file to disk.
I believe there was someone who set up a TC-complete roller coaster network in some Rollercoaster Tycoon sort of game. It had something like 25-slots of "RAM". Not very TC-ish. But if you could hypethetically expand out, hypothetically it would work.
So it's a common convention.