Normal people don't know and don't want to know what are apple disk images and what's the difference between .pkg and .dmg.
My understanding is that it's done this way so that there's a consistent experience installing software from a CD/DVD or from a download online.
But I think you're right, Apple should've rethought the software installation process the moment they dropped the optical drive from their computers.
It's only a "UX fail" if you're of the opinion that all platforms should work exactly the same way, and/or that UX paradigms that aren't what you already know are inherently wrong.
macOS users are aware (even though they might not know the technical terms in question) that a .dmg is not "an app". It's a virtual disk format - something reinforced by the literal disk that's its file icon - and using one is reminiscent of inserting a CD or USB stick to get files from. _That's the point_. You insert a disk and copy its contents to your own hard drive (applications aren't the only things stored or distributed via virtual disks).
It's like complaining that clicking on a ZIP file has the "side effect" of creating a new file/folder. People who actually use archives understand that they're container formats.
I've been using Mac OS for years, so I'm used to it. And good UX works well even for people who're not used to it. See iOS, you just tap "install" in the App Store and the app installs, that's how it should be.
Seriously, ask a good UX designer what they think about this - or just ask normal people why they think there's a virtual disk drive on their desktop and whether they know what a virtual disk drive is. I don't have the time or energy to convince you.
Now if Apple where to follow you suggestion and lockdown the app installation for better UX, there would be pitchforks everywhere. In fact, the pitchforks where out just last week for this issue.