With a downloadable executable or installer, I'm left with a file that I can save, checksum, scan for vulnerabilities, and/or refer to at a later date should I find that there are concerns I didn't discover initially.
curl-pipe-bash, especially in the absence of SSL/TLS, leaves me vulnerable to injection attacks, as well as invisible changes to the installer (so I don't know whether or not things have changed if I'm trying the same process later).
It's a very, very, very bad idea.
My prediction: this will all end in tears sooner or later. I'm actually hoping for sooner just so we can put an end to this foolishness.
As for Windows: I don't play there often, but my understanding is that most executables are now signed, so that the "download random binary from arbitrary website, run as Administrator" practice is at least very slightly less batshit insane than in the past.