I almost always inspect these kinds of scripts before running, more out of curiosity than anything, but also so that I know its not going to do that so stupid that even I can see it's stupid. Usually you can just pipe to `cat`, which is super low effort to do.
I've occasionally seen scripts that install some other application where it was not clear that it was a dependency and there was no heads up to the user that this was going to happen: that kind of behavior makes me more distrustful of the author, so there's a useful signal there.
Most scripts like this seem to amount to "configuration defaults + cli completions installation". To that end, I find looking at them useful because it gives me a sense of the expectations of the tooling and hints at where I might find things if I need to go debugging later.
When they are provided by the same entity as the program you wish to run, I don't see how it's significantly more risky to run these scripts than running the application code itself with the active user's permissions. Still, if there was something, by glancing at the script, you have half a chance of seeing it. If there's something there that doesn't make sense, that's both a "proceed with caution" and a learning opportunity.