Microsoft was claiming that the data would be inaccessible to hackers (which is not true).
Signal claimed the exact opposite: that once it's on your computer, messages can be seen by malicious programs on your computer.
Signal was caught having less than ideal security. Microsoft was caught lying.
Sideloading is quite bad. If you're in the EU, I know you can use AltStore PAL, which costs money (~€1.50 a year), but all you'll be getting is emulators, virtual machines, clipboard managers, and torrent clients.
There is another method for sideloading that works anywhere and lets you download modified apps, but it is very limited, tedious, and probably insecure. I've done it, it's not worth it. Better to stay on android or use a browser with adblock or something.
I don't think iOS has any specific limits to do with NSFW stuff, I've never heard of anything anyways.
Pirating games is probably not going to be worth it either since you have to sideload apps with the second method.
Other types of piracy are probably fine. If you have AltStore PAL you can get a torrent client and an emulator.