Why do you think this is a fake Google Play Protect dialog? A malicious app would just upload the app without asking.
"Send unknown apps to Google" is an official feature of Google Play protect
Send unknown apps to Google If you choose to install apps from unknown
sources outside of the Google Play Store, turning on the “Improve
harmful app ...
--> If you tap the file from the Download list in your preferred browser, you'll get the error!
You have to go to the FILE MANAGER, then there into your DOWNLOAD HISTORY respectively the FOLDER where you saved the .apk file.
Then tap the .apk file to open it, then you might have to choose (depending on your basic settings for "Installation from ...
You need to downgrade the ROM to an older one with ADB access, disconnect it from Wi-Fi and remove the sim card. Then remove com.zte.zdm over adb. After that, you can reconnect it and put the SIM card back.