It does even if you don't like it. You can put your logic in a script and execute that. That is what is being conveyed here in a blistering simple fashion. You could also make it one script, or two or three, you could even break those out into steps.

This is invoking a shell and that's how shells typically work, one command at a time. Would it make you feel better if they added && or used a step like they also recommend to split these out? You can put the error handling in your script if need be, that's on you or the reader, most CI agents only understand true/false or in this case $?.

Nobody said they want that behavior, they're showing you the behavior. They actually show you the best practice behavior first, not sure if you didn't read that or are purposely omitting it. In fact, the portion you highlight, is talking about permissions, not making suggestions.

      - name: Run a script
        run: ./my-script.sh
      - name: Run another script
        run: ./my-other-script.sh