Many, perhaps even most, installation guides for software use commands because the graphical alternatives can vary wildly between desktops and distributions. So using commands in guides is usually the more likely to work.

That said, what Mullvad does is stupid. The downloadable deb and rpm files should just initialize the update repository. That is what Google does with their Chrome download. Basically download the file, double click on it, confirm installation. That’s it. Users don’t need to do that manually for Chrome.

Luckily, there are only a few cases remain for this type of installation. Most regular things should be either in your distribution’s regular repository or on Flathub.