Battle.net has been doing that since day 1, so if you played any game on Battle.net you have downloaded server provided code and executed locally with the privileges of the user running the game.
(when a client connects to a battle.net server, one of the early handshake steps is to download a fixed named MPQ file, which is a Blizzard proprietary archive protocol which contains a DLL that is loaded and a certain fixed named function runs from it, which will checksum your client binary and send the result to the server to compare and allow you to progress further)
I think there's a big difference between the game downloading a DLL straight from the game developers (not all that different from an update) and a game downloading a DLL from a random server you join (that could be run by anyone that you have no reason to trust and that you don't realize you're giving them full read-write access to your computer).
(when a client connects to a battle.net server, one of the early handshake steps is to download a fixed named MPQ file, which is a Blizzard proprietary archive protocol which contains a DLL that is loaded and a certain fixed named function runs from it, which will checksum your client binary and send the result to the server to compare and allow you to progress further)