Clearly you did a lot of research. You're just suffering from having used Windows for many years. Understandably, that results in a form of post-traumatic stress disorder. It's totally curable.
Really, it's just that I switched back to Macs in 2011 after decades of Windows wild-wild-west :/
It's very common for former Windows users to perceive a need to install and use non-Apple "anti-virus" software or utilities. Windows users became accustomed to the need to tolerate such indignities just to keep their computers functioning at the minimal level required. Doing that was literally a full time job for even a modest computer system installation. Mac users were never so burdened, but when people migrate from Windows to Macs they tend to bring their same habits and prejudices with them, instantly seeking recommendations for the best "anti-virus" product to install. Or worse, installing something bundled "free" with a Mac purchase from an incompetent reseller. That is not only unnecessary, it's unjustified. Moreover, it is unsafe from a security perspective, for reasons explained elsewhere.
Ok but how come I have frequently encountered on websites an alert from my antivirus saying it blocked a script or some other threat.
I have no idea. Since I don't use any non-Apple "anti-virus" garbage though, logically I am exposed to those same threats. I use many Macs and have been for many years. None have ever been incapacitated by such things.
It's very simple to implement a rogue JavaScript that demands you do something dumb while also appearing to lock up your browser. Those threats are pathetic, and should elicit an immediate, almost visceral response. Most of them contain obviously erroneous information (e.g "Microsoft has detected a runtime error") or hysterically tortured language, and are easily recognized — at least for those with fluency in English. If some wacky website insists upon the need to install something or other under threat of dire circumstances should you fail to heed its demands, your immediate reaction should not only be no, but h*ll no. Close the page and forget it. Read Phony "tech support" / "ransomware" popups and web pages.
Some people continue to succumb to similar inducements though, which is the reason I wrote How to install adware. Adware has become very widespread and can affect anything that runs a configurable web browser like Safari on a Mac. I have yet to encounter a single instance of Mac adware that does not do exactly, precisely what it says it's going to do. Should anyone care to read them, their "terms and conditions" always contain the language "by agreeing to install this software, I hereby agree to ..." and then goes on to describe how it will essentially hijack Safari and make it an effectively unusable piece of junk, while completely indemnifying the creators of the garbage you're about to install. Even then OS X's Gatekeeper will add additional roadblocks. No one in their right mind should ever agree to modifying their Mac in that manner, yet they do, every day, with disturbing regularity. Perhaps one day Apple will completely prevent the ability to modify Safari with extensions and add-ons, such as in the iOS version of it. That would be unfortunate. Until then the only reliable way to avoid adware is the proper recognition of it.
Without an AV I would be naked against that I guess, ...
That is a common misconception, since OS X already provides multiple defenses against inadvertently installing junk. All you have to do is pay attention to the dialogs it presents. Read Safari: About Internet plug-in management - Apple Support.
Due to the way such garbage is produced and disseminated you cannot – and should not – rely upon third party "anti-virus" software to protect you from yourself. It's very common to find such malware installed on Macs already running third party "anti-virus" or "anti-malware" utilities that burden a system while conveying no benefit. The only reliable defense against malware of varying descriptions is recognition, avoidance, and using the latest OS X version available for your Mac. El Capitan automatically blocks the common implementations of such threats, one of many such improvements over previous OS X versions.
In this sense, would an OS on a USB stick or a DVD be a good option to "venture outside the walled garden" with no to little risk ?
No, that will not possibly convey any benefit. OS X is too big for a DVD, and it probably won't run well on a USB flash drive, but you're welcome to try it. It won't mitigate any risk though.
I understand the idea that feeling protected makes you have a more dangerous behavior, is there a way to monitor or get more feedback as a user from these Mac protections then ?
A misplaced sense of security resulting from software claiming magical protection is a significant threat, but it is not the only one. Installing some clever third party "anti-virus" product from a developer that claims to know how to protect OS X better than Apple does will increase your exposure to threats, due to the way those products work. By installing them you grant access to the Mac's operating system at a privileged level, in the exact same manner a "computer virus" or similarly characterized malware seeks to accomplish. Installing those modifications mean that you are no longer enjoying the benefits of an operating system that was the product of enormous effort from countless individuals who designed the entire machine, both hardware and software, from the ground up. You'd be using a modified version of it, intentionally relinquishing control mostly to incompetent developers who fled the sinking Windows flagship and are now desperate to assert their relevance for a platform with which they are not familiar. Anyone that claims knowledge superior to Apple in that regard ought to be regarded with suspicion, if not outright derision. There are several well-regarded presentations exposing common exploits introduced by installing non-Apple "anti-virus" garbage. In some cases, exploiting deficiencies in those products to potentially modify OS X in a malicious manner were so easily implemented that the competence of their developers was obviously lacking.
Apple has sole control over OS X. Having both the knowledge and ability to respond to threats that may arise in the future, they are uniquely qualified to provide periodic security updates to their own code. Read Apple security updates - Apple Support for a summary.
But a malware prompting a fake admin credentials window could theoretically make you authorize this installation right ?
Yes, absolutely. That's the reason you must only provide your credentials when you expect to be asked for them. The prompt should not be a surprise. If it is, stop and investigate. Mac malware is never the product of spontaneous generation. Find out what it is, determine how you managed to encounter it, and then change your behavior as a result of that experience. Doing so is an essential element of an effective security strategy.
What do you mean by a keylogger is legitimate. I had once a keylogger on my old PC ...
I meant just what I wrote. Companies that seek to monitor their employees behavior might want to install those products. Irresponsible parents raising equally irresponsible children might want them, etcetera. Keylogger software is not malware, and a user with sufficient privileges has to install such things on a Mac with deliberate intent.
Windows PCs have historically had numerous deficiencies unique to them, and are a completely unrelated subject not worthy of discussion on this site.
I am running Mavericks on a Macbook Pro Late 2011 (13"), I've since increased the RAM to 8gb (Crucial) but still have a hard-drive, not a SSD. Therefore I'm a bit relunctant to upgrade past Mavericks since I fear it would slow down my computer. Indeed at the moment it runs at the speed I want, I like to have many safari tabs open, sometimes also many firefox tabs open, all while using iTunes, Word, Skype, Steam or Battle.net, hence quite a lot of stuff running. I also like to play games that manage to run on the Intel HD 3000. I would like to upgrade to feel more safe and to benefit from the new features but I'm scared it would sabotage the ship somehow.
The latest OS X version will run faster on a MBP of that configuration, not perceptibly, but quantifiably so. I've measured it. What you risk by remaining with a superseded OS X version are the protections available only to El Capitan. At present I believe Apple still supports Mavericks with security updates but they won't do that forever. Eventually it will be abandoned as in every preceding OS X version. Apple does not announce when that occurs. They just gently nudge users into installing the latest OS. Sometimes not so gently. You can install El Capitan on an external USB hard disk drive, and evaluate it at no risk whatsoever to your existing installation. All that will cost you is a $50 hard disk drive, which you can also use for Time Machine.
Your existing Time Capsule can be used to revert to any previously backed up system, but you cannot boot or run OS X from a Time Capsule. You can install El Capitan on your existing system, and use Time Machine to revert to Mavericks if you so choose. If you elect to do that I recommend you temporarily turn off Time Machine before installing El Capitan, so as to ensure a subsequent backup doesn't require so much Time Capsule hard disk space that it needs to overwrite your existing Mavericks backup.
Anyway, the malware got in through tampered Xcode apps in China, and since this app is used for iOS apps but also Mac App Store apps, I think we can unfortunately stop seeing the MAS and the App Store as ultra safe sandboxes, to my greatest regret. What do you think about that ?
I think your regret is misplaced. Certain countries obviously suffer from the predictable problems consistent with attempts to impose an overbearing degree of control upon all aspects of their society. The difficulty or inability to freely download software available to the rest of the world led to the proliferation of "cracked" Mac apps in China, Apple's Xcode being one of them. Apple fixed that by immediately removing the affected software from the Mac App Store, as only they can.
As I wrote, nothing can prevent a user from willfully downloading, installing, and using illegitimate software. By extension nothing can prevent someone from using illegitimate copies of developer tools to create software. Overcoming difficulties in obtaining legitimate copies of commercially available software should be directed toward removing those hindrances, not by finding ways to circumvent them. No software distribution model can be made completely free from malicious interference, but risk can be reduced to an acceptable minimum. The App Store accomplishes that.
Also what do you think of LittleSnitch, I really want to be able to monitor in and out traffic and allow or deny what I want, I've always had an Application Level Firewall with prompts for every connections, I feel comfortable with this, I wish something similar was built-in.
I think it's more trouble than it's worth. There are simply too many OS X processes and applications that need to establish and use outgoing connections to monitor. Using such tools is as acceptable as any other non-productive utility you may wish to use, in that you have to be aware of their limitations and capability to break things. You'll also need to vigilantly maintain them with every minor OS X update that Apple might issue from time to time.
I suspect using Little Snitch will result in you becoming harassed to the point of either blindly accepting all outgoing connection requests that you will be more likely to overlook something actually deserving of scrutiny, or you'll become so annoyed by it that you won't use it. Or, you'll inadvertently deny a legitimate connection request "permanently" only to forget about it later, and wonder why something isn't working right. The degree of inconvenience you want to impose upon yourself as a Mac user who ought not to be burdened with such minutia is a personal decision only you can make.
Am I at more risk by staying with Mavericks even if I update the Apple Security updates ? ... Do future Security Updates scan for malware or something ?
I would quite put it that way, but by remaining with Mavericks you will not be enjoying the additional security benefits El Capitan provides.
At present Apple still issues security updates for Mavericks, and yes that includes updates to known malware. Read About the "Are you sure you want to open it?" alert (File Quarantine / Known Malware Detection) in OS X - Apple Support.
I also have a Time Capsule, even if I made a clean install of El Capitan to start over, how can I make sure there is no malware in my Time Capsule that would be transferred back to my Mac once I connect back to it for the first time after the clean install ?
Because Time Machine does not work that way. Nothing contained in the Time Machine backup can possibly transfer or otherwise migrate back to the source volume, unless you explicitly restore it.
Finally I have Windows 8 on a Bootcamp partition to run programs and games I can't run on Mac, or hardly, even with wrappers. Does having a Bootcamp partition present a threat ? Ex: a virus on windows migrating to the Macintosh HD ?
That is as likely as someone's Windows PC on the other side of the globe affecting your Mac. In other words no. That is different from running virtualization software on the same boot volume. In that case it's possible, bearing in mind Windows PC viruses are inert on a Mac and cannot affect OS X.