I think the comparison of telemetry and stealing is pretty harsh.
Is opt-out telemetry unethical ... depends. If you use it in a privacy preserving way no, if you spy on your Users, sell the data for money or advertising obviously it is unethical.
The hard truth is, nobody reads the manual. Opt in telemetry is often a minority, and you then work with niche data for a minority that influences your development in certain ways.
In my opinion, any data collection about me or my machines that occurs without my active informed consent is "spying". This is my fundamental problem with opt-out mechanisms. They do not indicate or imply that active consent was obtained.
Unless a Windows user is installing the software, that screen would be displayed in approximately zero of the cases where a package manager was used to install the software. Similarly, exactly zero widely-used Docker images that contain the software would display this splash screen, as the software would already have been installed.
In short, unless you're a Windows user there are so __very__ many ways to install software that aren't "Go to the project home page, download a generic install binary, run that binary with world-write permissions.". Aside from very small-time projects, I can't think of the last time I used an officially-maintained install script that I got from the project's servers to install something.
It would be better than nothing, but not really adequate. There are numerous circumstances where such a screen is impossible or impractical, and if every program did this, it would be as good as not doing it because people will react to it like they react to other common warning dialogs -- not really seeing it at all.
The world is full of people making decisions for one another. Did you consent to unix files not flushing on every write() call? Its not a meaningful complaint.
"If we ask everyone is going to say no, so we will steal it unless someone tells us not to"