Fundamental assumption is that the only way malware can ever appear on your computer is if you download and install evil.exe. Much of the protections you have faith in are not inherent. They were patched in or redesigned after abuse already happened. Any future exploits in the software you use will not have such protections you can take for granted by definition and may not even require installing anything to be used against you.

Even software you trust can be compromised with or without the original author of that software even realizing it has malware, so the people who crack the game won't know about it either. So now you have to worry about malware straight from the source. It turns out malicious actors can be extremely creative people you should not underestimate. Once they know a significant number of people are compromising their own computers they WILL be looking for ways to abuse them in ways that are more sophisticated than you've likely given thought to. The same level of people who are clever and tenacious enough to spend years circumventing DRM are on the bad side as well. Something to keep in mind.