We download, install and run scripts and binaries written in a variety of languages ALL of the time. This one's in Bash - even a child can sort of check it out. It is intentionally written in Bash and the code base is small (for this kind of project), so as not to obscure much.
What's the difference between that and running make? I'm sure you wouldn't have complained if the website asked you to run make install instead. You can still read the script, like you would a makefile.