That's there to stop people changing or deleting files that are part of normal operations.
It's like someone asking "are you sure you want to do that?"
It's a useful feature in an office/domain setting, home users just get to be annoyed by it because it's an intrinsic part of the operating system that can't be removed when they neuter all the other useful features out of it to make the home edition.
"Oh I don't need these System32 files"
Can you explain this joke to me? I'm confused, what do you mean by "modify the file"?
Just a total guess, but maybe screen overlay is turned off in that additional window to make it more secure before installing something. At least that's always been my guess.
If you get malware under the administrator account, it would then have access to every file on the computer. If they made it prompt for password for each file access the account does, you would spend your whole time on the computer putting in your password.
If you really want to experience maximum frustration, try modifying one of the files in this directory:
It's like confirming your final answer on who wants to be a millionaire
Programs run as you so operating systems notify you that something odd is happening. You can then decide if your ok with it.