Security research shows Google Play Store itself is in fact the lead spreader of Malware for dodgy Android apps worldwide, that Google's own vetting processes lets bad apps get published to the store over and over again. Don't trust "Play Protect" - the warning flag is most likely due to an old API that Aptoide uses that was probably created by Google themselves years ago that doesn't meet the current data protection standards. Millions of people use Aptoide, be safe and always scan your Apps, and use an Antivirus app. I personally always disable Play Protect through ADB for my AndroidTV devices and sideload Bitdefender AntivirusFree to scan every app that is installed, it scans even the apps coming from Google.

It's just a scary message to prevent people to install an app that does direct competition to their own service

Like if Google play doesn't collect any data that can be used to track you...