https://www.nicehash.com/blog/post/stop-using-phoenix-miner-immediately

Well that would be something, wouldn't it.

If you look at HiveOS's miner distribution almost half (45%) is using Phoenix miner
https://hiveos.farm/statistics/

And a lot of miners are using simple/hive os to my knowledge. Heard neither of them nag.
If you look at the sheer volume of hashpower and the corresponding dev fees coming in next to the track record of phoenix, it's all a little far fetched IMHO.

So if the Dev was planning 'something malicious', wouldn't that be the same as shooting yourself in the foot?

As stated above, probably a way of scaring you into using their miner.
If you're so concerned with the safety of 'unsigned software'*  from an 'anonymous author', why include it in the first place.

*)Like signing software gives any guarantee that's not harmful in any way