> Did I install a malware?

No. While I can’t speak to the quality of the software produced (I use Nikon and find their software mediocre at best) it’s not malware that will harm your computer. 

> Is there a valid reason why I had to manually bypass the security settings during installation?
>
> Is there a legitimate reason why this app asks to scan my drives?


There are many reasons for disabling *Security & Privacy* settings. One reason is that your camera is being connected via USB and shows as storage. 

Also, the software is likely doing a quick scan to determine what device is being connected.  Additionally, CF and SD cards are technically external devices (even if using the camera s as a reader) so it may be scanning looking for image folders like `/DCIM/`.