No, this is no malicious software, this is just part of the Linux-development and bugfix network. You enter your password in order to garant the reporting tool access to the information needed to create a ticket.
This is basically the idea of Linux: nothing is allowed until you admit it.
Windows: everything is allowed except you forbid it. ;-)
This principle is the reason for Linux based OS to be more secure than others. But keep in mind, even if security relevant-fixes are usually fixed within a day after reporting, and there is no use for a firewall software unless you run a server: it is possible though to create a virus for linux OS and you should keep phishing-attacks in mind while browsing.