I agree. I don't try to close it, though I did once long time ago when I got it on another site. It WILL download something if you don't close the window immediately, but I've had no trouble simply removing the dmg. And I've searched to check whether it's deposited anything elsewhere on my computer.
What I do now when it pops up is just immediately close the window. That stops the process.
As I said, initially it purports to be a message from Apple, but of course it isn't.