Whenever you install an application on the mac (not always but often enough to not matter), you will be asked for the Administrator password. It's part of the security that keeps Macs less liable to viruses and spyware.

I'm sure the concern is that information is being sent back to some host or user. Unlikely. Haven't had any troubles with the application (one file type is another issue). No way around this, though, unless you just stop installing apps.