Hi, I'm Bernard, a fellow Windows user. I'm happy to help!
Windows S Mode is designed to allow downloads and installations only from the Microsoft Store. The advantage of this is enhanced security, as apps are limited to those verified by Microsoft, similar to how apps are managed on mobile devices. However, the downside is that you cannot install third-party applications.
If you need to install third-party applications and you are downloading them from trusted websites, it would be better to switch out of S Mode. Just make sure the source is safe and always keep your device updated to maintain security.
For reference: https://support.microsoft.com/en-us/windows/switching-out-of-s-mode-in-windows-4f56d9be-99ec-6983-119f-031bfb28a307