But applications ask me for my password all the time,
And all I have to do is click OK
The apps still have to ask me dont they?

Which apps are asking you for your password? And when do they do this? What are you trying to do when they ask?
It should be relatively unusual for an app to need your password.

If an application goes through the normal APIs, a password dialog would be presented. This is how a "good" program operates. That doesn't mean that a "bad" program can't attempt to go through the back door and send a blank dummy password directly through the UNIX command line. If it fails, no harm - no foul. You'd never know it even tried. It would be extremely easy to write a bash script to open various ports into your files that would be invisible to the Sharing preference pane.