It's convenient for the majority of people. There are regular downloads available (https://www.rust-lang.org/en-US/other-installers.html) and you can probably also get Rust through your system package manager.

This is effectively what most package managers do too. If you're going to be running code from a third party, you need to be able to trust that command, or there's really nothing you can do, as some equivalent of it is going to run.

There's nothing stopping you from downloading the script and peeking at it yourself. There's also nothing stopping you from using the many other installation methods available.