Indeed, some policies (especially in larger corporate environments) may to some extent block this method. For those that allow it this can be a very convenient tool, though!
This does fall into the "UNSAFE" category, but then all CLR in starting in SQL Server 2017 is considered UNSAFE. See CLR strict security: https://docs.microsoft.com/en-us/sql/database-engine/configure-windows/clr-strict-security
Additionally, I was careful to do some homework on this one and find out how to "properly" sign the assembly so I wouldn't need to do things like set TRUSTWORTHY on the database.
CLR, just like other excellent features of SQL Server like dynamic sql, xp_cmdshell, OPENQUERY, etc. need to be handled with care!
yeah, that's why my horrible script you can see I posted on this page doesn't use xp_cmdshell but sp_OACreate