Earlier quoted context omitted.
sudo run "some link to a shell script" Never understood why that became so common place ...
It's not really different than downloading a .msi or .exe installer on Windows and running it. Or downloading a .pkg installer on macOS and running it (or running a program supplied in a .dmg). Or downloading a .deb or .rpm on Linux and running it. It's all whether or not you trust the entity supplying the installer, be it your package manager or a third party. At least with shell scripts, you have the opportunity to…
Of course, many installers ask for administrator access anyway...