Well that behaviour is generally discouraged and whenever I do so, I give some due consideration to how much I trust the website. I can also eyeball what the script is doing which is more practical than disassembling some binary although it's common for the script to download a binary. Also, a lot of "install" scripts will set your system up with the software repository, so you use the standard system updates to also keep that software updated.
It's extremely common for Windows users to download and install malware, but very rare for Linux users to do the same, so I don't really understand your point.
