sudo curl

I'd use curl to download with user permissions and then sudo mv to the desired place.

sudo random binary

The official binary of your vpn provider isn't exactly "random". They probably also provide means to check whether the downloaded binary is authentic. Yet, they don't elaborate on that here.

Especially considering that every distribution can set up a VPN without any external tools.

They did state it was easy, not safe. Unsafe is always easier. (Until it isn't—I'd get back "-bash: sudo: command not found" if I just followed those directions without understanding.)