On “immutable” distros, this means adding a layer with the software on top of the immutable base image. On securueblue this happens via rpm-ostree install command.
You need to read this up for yourself. Too much to explain. It is basically a very lightweight form of virtualization on Linux, which does not have the same security guarantees as “normal” VMs.
Check out the Secureblue homepage, especially the FAQ
Yes, but I think it is an acceptable risk. Unprivileged user namespaces increase the risk of privilege escalation. But on a single user system, you are screwed anyway, if malware runs as your user in an unsandboxed way and most sandboxes deny access to unprivileged user namespaces nevertheless. As @Securefan said, using a Whonix VM instead would be the most secure option, but it is also much more inconvenient and resource hungry.