You shouldn't run scripts from a random server but you probably have to consider running scripts from a server you trust. If you don't trust the server you run the script from, are you really going to run the executables this script installs? If we ignore the idea of downloading and building every program from source, then you'll download and run programs compiled by someone else. And you need to trust them, or sandbox the programs. There are no alternatives.
Yes, the bash script or msi can kill your dog and eat your homework but there isn't much we can do about that without running things in in sandboxes - and the (old/normal) windows app model doesn't have that.
Auditing the script won't help you, because it'll say it will install a program somewhere. Which is what you want, so you'll consider the audit "ok". But the people who wrote the script/installer are the same people that created the program (or have compromised the computers producing both) and now you'll run the rustc.exe program you just installed and that will eat your homework!
To most people there is no difference in how transparent a bash script is compared to an msi. Downloading an msi from a https server I trust, signed with a cert I trust, is something I'm mostly comfortable with. The same applies to running a bash script from a location that is trustworthy.