If the Secure Desktop or similar feature were disabled, the malicious software could use that password to gain higher privileges.
In order for an operating system to know when to prompt the user for authorization, an application or action needs to identify itself as requiring elevated privileges.
If the user were unable to provide proper credentials, the work done before requiring administrator privileges would have to be undone because the task could not be seen through to the end.
In the case of user interfaces such as the Control Panel in Microsoft Windows, and the Preferences panels in Mac OS X, the exact privilege requirements are hard-coded into the system so that the user is presented with an authorization dialog at an appropriate time (for example, before displaying information that only administrators should see).
Different operating systems offer distinct methods for applications to identify their security requirements: