I've never downloaded a C# mod from a Discord server. They are typically available via first-party sources (e.g. CoI Hub for
Captain of Industry), reputable* third-party sources (e.g., Nexus Mods, Thunderstore for
Valheim), or even the same distribution platform as the game itself (e.g., Steam Workshop). While developer support is all over the place, it
usually amounts to putting a ZIP file in a specific directory.
Bethesda is not a very good counter-example, in my opinion, because they regularly** break mod support. I don't know enough about how these mods work to be sure, but given that the 32-bit to 64-bit transition was one such major breaking event, I am suspicious that they are not actually effectively sandboxed. I also don't play many Paradox games (and the one I did play a lot of, Cities Skylines, is a special case, and also a Unity/C# game), so I don't know how they do things.
The best example I know of for strong, sandboxed, first-party mod support would be Factorio and its Lua mods. However, these mods are constrained to doing only those things the game developers anticipate and want to allow, which means every mod for Factorio produces a very Factorio-flavored experience, though AFAIK there are some extension points in the API which are only really used by mods (or were, at least, before the Space Age expansion).
The biggest downside of C# (and Java) mods is indeed security, but the biggest upside is that a lot of games can add modding support without too much extra work. Such extra work is often not possible (they don't own the engine) or unlikely to happen (they don't have the time/budget), outside of special cases.
* = Whatever else you might think of Nexus Mods and its policies and drama, they generally take malware seriously
** = Roughly every 3-4 years, which means it's happened like 4 times with Skyrim, and one of those was so major that it completely split the mod ecosystem