So usually people do install Linux software from trusted software repositories. Linux practically invented the idea of the app store a full ten years before the first iPhone came out and popularized the term "app."

The problem with the Mullvad VPN is that their app is not in the trusted software repositories of most Linux distributions. So you are required to go through a few extra steps to first trust the Mullvad software repositories, and then install their VPN app the usual way using apt install or from the software center.

You could just download the ".deb" file and double click on it, but you will have to download and install all software security updates by hand. By going through the extra steps to add Mullvad to your trusted software repository list, you will get software security updates automatically whenever you install all other software updates on your computer.

Most Linux distros don't bother to make it easy for you to add other trusted software repositories because it can be a major security risk if you trust the wrong people. So I suppose it is for the best that the easiest way to install third-party software is to follow the steps you saw on the website.