All I wanted to see was a single screenshot or video. Ars used to be such a wonderful site. Anyway: https://youtu.be/_6cmu0NuM3g
Bizarre how the scare popup doesn't have a button to immediately go to the right place in Settings (or even just enable the feature right there). Typical Apple though. It's the same mess on macOS to allow running software installed from the web.
Reminds me of the ridiculous hoops Google built into Chrome to discourage you from sideloading extensions - having you activate "dev mode" before, sure, but then also making dragging and dropping the extension file onto the Chrome window the only way to actually install it.