Appx is locked down tight on purpose. It's built to be a more secure application platform than exe.
Not saying it's right and you should have to deal, but that's why.
Editing to say I also went Linux last year and I love it far too much to ever go back to Windows. Flatpaks are similar to AppX but at least you can customize the permissions for them. Still I find them to be a bit of a pain to use for some apps.