Sideloading isn't any better than jailbreaking your device. Yes, the EU forced Apple to allow it, and that's the problem.
Being able to do so bypasses the safety of the App Store where apps are tested to try and find anything that would cause harm. Not everything gets caught, but for the most part it works well.
Sideloading makes your iPhone just as insecure as any Android phone, which allows you to install apps from anywhere. The app could be doing one thing in the foreground you wanted it for, but could be secretly uploading all of your personal data to the author.
Malware is rampant on Android phones due to sideloading. And the Google Play Store isn't any better. In one 2023 report, over 600 million downloads were associated with malicious apps on Google Play, and a more recent 2024 report identified over 200 malicious apps with more than 8 million collective installs.
Apple fought hard to keep the EU from forcing sideloading under what should have been the obvious argument that it's Apple's company, and the government shouldn't be allowed to tell them how to run their own business.
Does the government step in at times? Sure, when it has to for safety reasons (child car seats, household items that can easily burn you, etc.). But there's no legitimate reason to force sideloading. If the vendor wants iPhone users to have access to their app, then they can put it on the App Store.