Because you don't know how the script is going to try to install the program. A double-click installer on Windows has a standard approach that results in the program being placed in C\Program Files and the files being tracked and an uninstaller being placed in a centralized location. On Linux, any random "installer script" could spew files all over your /usr or anywhere else with no way to clean them up. This could even break your OS.

The Linux equivalent to double-click installer is ... a double-click installer, Flatpak. Or for even more bonus points, make the app fully portable as an AppImage. In the rare case I can't find what I'm looking for in my distribution repos, I look for an AppImage.