* already packaged for your distro or package manager
* supported as an integrated linter in major editors
* available in CodeClimate, Codacy and CodeFactor to auto-check your GitHub repo
* written in Haskell, if you're into that sort of thing. "
Sometimes you are not in your computer, the script does not have private information (i.e. open source or something you don't care to be public). Sometimes the website is simply more convenient.
A random web form can exfiltrate the data you paste into it (and whatever your browser lets it gather). A local program can exfiltrate ... approximately everything of value on the machine?
That's why Linux users typically install things from their distro's package manager. The bar to get malicious software in there is very very high (though it is not impossible).
But if you're still using Windows, then yes, I agree.
On the other hand, I wonder if the web page keeps track and could offer "best of bash mistakes".