Uhh... It mounts after downloading? Aside from that I doubt (or don't want to believe) that's what's happening... Doesn't that sound inherently dangerous to you? We've seen files that could infect Windows machines just from having the file browser look directly at them.
Considering most people in the world use Windows, dmg is pretty much irrelevant. They can only be opened/unpacked on Macs, so even if it contains a evil payload you won't ever got to it on Windows or Linux.
Exe-files has much bigger impact and can be run through emulation on non-Windows systems.
But what if you do the same on Linux, with Wine installed? are you vulnerable the same way Windows users are ? I mean: Wine lets you just double-click exe file to run it.