browsers have been benefiting from decades of innovation to mitigate the security issues of execution of JavaScript.
CORS headers is the latest of theses innovations. Deno allow you to fetch code as a browser would without providing you with any of the safety browsers can have. Mostly because it would not make sense to have a runtime doing that.
Deno is not a browser but takes the risks of a browser. Running Deno install is as safe as browsing the internet using Windows CP without SP 2 and Internet explorer bellow 6.
Also, importing a module in https does not mean this module won't import anything using http. Should you review the code of all imported modules? This is virtually impossible.
Deno must disable http by defaulkt and provide a flag to re-enable it. This is factually a security issue in Deno.