Você quase respondeu sua própria pergunta: essa é uma medida de segurança.
O artigo do Blog do Windows PowerShell Windows PowerShell e o "PowerShell Worm" detalha os recursos de segurança do PowerShell, que também são resumidos no artigo Segurança do PowerShell :
PowerShell has been obviously designed with much more security in mind than VBScript or cmd.exe:
By default .ps1 script files are associated with Notepad. Double-clicking a script does not start it.
To reference a script in PowerShell you have to specify file path, so even if a script is called dir.ps1 typing in dir will not start it. The shortest way to reference it is .\dir.ps1.
And finally execution policies by default won’t allow you to run any scripts at all. You can lift the limitation up a bit by allowing to run scripts signed by trusted authorities.