What it does
Google Play Protect checks apps and devices for potentially harmful behavior. It scans apps from Google Play and other sources, can warn about an app, and may disable or remove a harmful one. A recommendation to scan an unfamiliar outside-store app is a safety check, not an instruction to install it anyway.
An example
A message asks you to install an APK to view a delivery. Play Protect warns before installation. Pause and verify the delivery through the carrier's real app or site; do not turn Play Protect off because the message says it is a false alarm. Google's
Play Protect help describes the warning and removal behavior.
The limit
No scanner can guarantee that an app will always behave safely. Review developer identity, permissions and updates as well. If the app already accessed SMS, notifications or the screen, removing it may need to be followed by account-security checks.