On Windows and Mac, you are doing a number of things implicitly that you don’t realize.

When you download from their site, you are expected to verify the integrity and validity of the install file yourself. You also have to take ownership of installing any dependencies yourself.

With the instructions mulvad is providing you, you are connecting to a repo and apt does all that for you.

Some installs don’t require dependencies, but some do. Long term, this style of install tends to be a lot simpler, you just have to learn it.

But more importantly and as others have stated. Linux is different. If you aren’t interested in learning a new workflow, you should stick with something familiar. That’s a choice you should make not because others said it but because you want it.