It's easy to make fun of IT departments. I have done that myself with respect to ineptness.
However, it is not hard to envision certain jobs and systems where individual installations are not allowed, including thumbdrives. If that is the rule, I would follow it. If you need specific software for your job, I would request it or ask whether you can use a personal laptop (not connected to the network) in addition to the company supplied PC.
The cost to a company for a security breach in the US reached an average of $5.9 million is 2014 and the price tag for the recent Equifax breach has yet to be determined. It is likely to be a lot more now that class action attorneys are involved.
John