Here are the official explanations from Microsoft:[2] X Research source Windows Store apps is the default setting. If you aren’t developing apps, or using special internal apps issued by your company, keep this setting active. Sideloading is installing and then running or testing an app that has not been certified by the Windows Store. For example, an app that is internal to your company only. Developer mode lets you sideload apps, and also run apps from Visual Studio in debug mode.
Do so by clicking the Yes button in the blue pop-up window.