They might not trust the security team to be their friend, they have no reason not to trust them as a coworker doing their assigned job.
They may perceive the personal cost as being low, but that is the real issue. If digital security is breached because of their actions, when a small amount of due diligence can easily prevent it, they are responsible. Losing your job because ransomware you let in took out your employer's computer system is a pretty big personal cost. May make it hard to get hired somewhere else too.
Locking down work computers further and further until users can't possibly do anything damaging also makes doing work on those computers slower and more frustrating. It's cost me many many hours, because coworkers can't take 2 seconds to think critically.