Binaries we download and run (as well as packages from package managers) are generally cryptographically signed by people you trust. Shell scripts you curl into bash are not. It is generally MUCH easier to compromise a website and insert your own malicious script than it is to compromise a developer's secret key, which is usually stored much more securely.

Put it like this: if an attacker compromised Rust's website and put in their own malicious Rust installer, macOS and Windows would both show a very scary warning that's like "This is unsigned! Don't run this!" (macOS would even refuse to run it unless you did the right-click to open trick). A Linux package manager would refuse to install such a package outright, unless you --forced it. Not so with curl-to-bash, it would just silently compromise your computer.

Basically, if you believe that code signing is a good thing for security (and I think we all do), curl-to-bash is awful security practice, and you should manually review the script.