The difference is you have the executable for examination (at least a quick virus scan) before you run it. Certanly not perfect, but what is?

Is there McAfee for Mac? There's no real difference. You're trusting someone not to root your shit. Whether it's via curl, dmg, or apt, we have no idea who anybody really is, so it's all on an assumption that people aren't evil. Unfortunately it turns out that there are evil people out there, but doing it via curl | bash or downloading a dmg or though some app store, there's still evil that's gonna get you if you end up trusting in the wrong people.

You can still do that with their install instructions ;)