I mean, Microsoft could supply an option to safely install Linux as a dual boot, alongside Windows, done by Windows, itself.
That is the only way I would trust such a tool, and even then, I might not.
There's so much closed source code involved in doing it that way - it feels like only Microsoft staff could have any hope to verify compatibility of all the necessary components.
Booting to a Live USB Linux first provides a clean-room - a known, publicly verified open source platform - to perform the installation from.
Such a clean room can be avhieved within Windows, but only by Microsoft engineers with full access to the entirety of Microsoft's source code.