You can review the bash script first. Regardless, they provide a few different installation options https://zed.dev/docs/linux

I've often had the same feeling, but taking a critical view:

How is "run these bash commands", worse than "run this Python script", or "run these binary instructions on your CPU"? It all seems mostly the same.

What am I missing?

I am curious - if they provided a link to the script instead, would it have been ok? If you want to see the code before running, you can just redirect to a file before running it.