They don’t. I’ve been on the same Debian install on laptop and desktop for years. It’ll make some odd decisions with packages sometimes, but it hasn’t bricked.
I don’t have hard data, but you don’t see these kinds of posts about Debian, Mint, Ubuntu or Fedora.
Also, no, this is not an ideal way to do this. Ideally every package you want is in your distro’s repos so you’d just need to do “apt install [package]”.
The reason this one isn’t is because mullvad wants to make sure you use their tested, secure, and updated version and they don’t want to maintain that for every distro. So they have you configure your package manager to use their repos.
This is relatively uncommon to come across in Debian. You’ll normally only find it in security applications or very niche ones. The Debian repos aren’t the most comprehensive but they’ll contain the vast majority of common softwares.