Even El Capitan has open components still. It hasn't become iOS just yet. Thank the heavens.
chubigans is correct. That's what's default checked when you're in factory settings. You can change it to app store and identified developers, or unidentified developers allowed as well is the third option. I use the last, but I find on occasion it'll be moved back to Store only without my doing it. I'm sure my rMBP mid 2014 isn't possessed or anything, but it'll be incredibly annoying if this becomes the case with every app. As is, my Macbook is an indie game box (because it's mainly used for school and I knew it'd play most titles terribly), so they'll mostly fall under unidentified devlopers, and I know I'll get sick of having to click, "YES, IT'S SAFE, OPEN" in System Pref>Security.