If you have the Brave Browser installed on your Windows devices, then you may also have Brave VPN services installed on the machine. Brave installs these services without user consent on Windows devices.
Brave Firewall + VPN is an extra service that Brave users may subscribe to for a monthly fee. Launched in mid-2022, it is a cooperation between Brave Software, maker of Brave Browser, and Guardian, the company that operates the VPN and the firewall solution. The firewall and VPN solution is available for $9.99 per month.
Now imagine that the script is set to run as part of the brave installation - you type “yes” please download brave, brave installs brave and runs this script. Linux isn’t immune to malware as you seem to think.
You would need the power of root to do all these aforementioned things (run a VPN service).
And am not saying that Linux is immune to malware, just that it’s not out of the norm to have package managers install services crucial for operation during installation. Since Windows doesn’t have package managers, I’m gonna replace package managers with packages in this reasoning.