There's a difference between trusting well known software such as vim (especially when packaged by a distro) and trusting shell scripts from essentially anyone. If it's a well known resource, then I'd likely trust the script without checking (e.g. adding a docker repo to Ubuntu), but otherwise I'm going to give it a quick eyeball.

I would tend to agree that scripts for downloading from the internet should have a '.sh' extension to make it clear that it's a script as opposed to a binary.