There is a "default install location" setting, with options auto/internal/sd. I believe that the default is auto, so an app can indeed install to sd. That's what mine is set to, and I just downloaded the British Gas app and confirm that it did install direct to sd.
You shouldn't need to worry about an app installing to sd - that should be no more dangerous to the card than taking a photograph. But if you really want to force all apps to install internally you should be able to do it.
There's a thread
here in my devices's support/troubleshooting forum (old device) containing a guide on how to force apps to install to sd - the Desire lacks internal memory, so that's what most people want! If you were to follow that but set the install location to "1" rather than "2" I believe that would do what you want (force apps to install internally). It does require that you set up adb on your computer, and the instructions for doing that are specific to the device (because the drivers are device specific). So you may need to do some research to get that bit set up - visiting your device's forum might help (it's a good thing to do anyway
).
Personally I think main reason for not moving an app is that widgets don't work if you move the app to sd. Apps where I don't intend to use their widgets I usually move to sd. Oh, while I think of it keyboard apps also don't work from SD.
But as MP says, check comments about apps before installing, and ask in this forum if unsure.