The unknown source option is a feature of android which block 3rd party application to install on your phone. when you install any apk on your phone first time your phone allow it without your permission. when user allow unknown source option they will access to download and install many usefull apps that isn't available on google play store and many cracked games. you can also uncheck this option if don't install apps outside the play store most of time with the same procedure that i will show you below.
now when you install any apk, your android isn't warn you and not stop installation for security reason.