The security concerns are often overblown. The bigger problem for me is I don't know what kind of mess it's going to make or whether I can undo it. If it's a .deb or even a tarball to extract in /usr/local then I know how to uninstall.
I will still use them sometimes but for things I know and understand - e.g. rustup will put things in ~/.rustup and update the PATH in my shell profile and because I know that's what it does I'm happy to use the automation on a new system.