Cygwin is essentially a distribution, so like any distribution their packages are recompiled for that specific distribution and available in their repo. It's not too often you download a random binary for Linux and run it, but that case I concede.
Mostly because you don't have to due to package managers. Assuming there are no unsatisfied dependencies, it's totally possible to share binaries between Linux distros.
On the flip side the concept of " curl http://random_unknown_thing.sh| sudo sh" has become increasingly normal and unsettling