You do if you want your app not to be flagged as spam. Users are perceptive. They notice when windows brings up a big notice telling them the app is not to be trusted.

Perception is everything in those first few moments a user get his hands on your software. But now if I dont pay the entrance fee I potentially get abandoned by said user bc they have been scared off.

Its not an app store yet. Give it 5 or 10 years when we no longer have an open web and all we have are walled gardens.