It's scary for those who don't know how things work. 99% of devs that use Ren'Py are not coders, most of them don't even know python.
If this is true then 99.99% of those who play this game know nothing about coding in Python, let alone locate a piece of code and ensure that it is safe, yet your next sentence is....
Well, it doesn't make sense. The game source code is open so anyone can check what the game requests for.
Your 99.99% WRONG.
ANYONE can not check what the game requests, since 99.99% of Anyone couldn't debug a line of "Hello World" if their lives depended on it.
Furthermore, your "solution" would require the 0.01% of users who can code to recheck the program after EVERY update in case that section was swapped out with meliciouse code or link.
At this point you better be scared of UE games since their source code is closed.
I'm sure if their Anti Virus gave that alert to a Unity game that they would be "scared" and take the same action. So unless the user said they would trust a Unity games that triggered the same AV warning then your statement is irrelevant.
I am a programmer, and can code in Basic, Forth, Java, Pascal, Delphi, AHK and a smattering of assembly in a pinch. If my AV alerted me to a Renpy game making such a connection I too would delete the game since I have much better ways to relax then to try and read the code of a novice programmer.
Your advice is unrealistic and dangerous and I would advise any user who is not a professional programmer to delete any game that there AV warned was trying to make an unauthorized connection to a site that Developer does not own. And under no circumstances should they try to "Check the code."