If I had to guess, it’s an attempt to optimize install conversions. Every multi-step process you ask a user to perform is effectively a (marketing/sales) funnel. Some percentage of people drop off at every step. Maybe Zoom they thought that if they moved the actual installation closer to Step 1, then more people would accomplish it. It’s awfully sneaky though, especially that password dialog.
Or, you know, decrease the failure rate of people legitimately attempting to install Zoom. It's quite reasonable to ask why on earth apple requires more than one click for a user to say "I want this program to run on my computer; make it happen."