If you trust the source, you might as well install it. Otherwise, we're basically arguing that everyone who has ever installed any non-distro software is an idiot.
Consuming http or the connection dying and script ending early and being left in a weird state is probably a more interesting argument than the trust issue.
The connection-closed problem can be solved by wrapping the code in the script within a function, then calling that function at the end of the script. Of course, that needs to be done by the software's author, but we trust the authors of our software if we're going to run it, yes?
wget https://example.com/script.sh | bash
If you trust the source, you might as well install it. Otherwise, we're basically arguing that everyone who has ever installed any non-distro software is an idiot.
Consuming http or the connection dying and script ending early and being left in a weird state is probably a more interesting argument than the trust issue.