You seem to be missing the fact that this is a module hosted on PowerShell Gallery ( https://www.powershellgallery.com/packages/PSWindowsUpdate/2.2.1.5 ) and is based on a public GitHub repo https://github.com/mgajda83/PSWindowsUpdate/tree/main/PSWindowsUpdate
I assume you are familiar with PowerShell Gallery - but if not, you can read more about it at https://learn.microsoft.com/en-us/powershell/gallery/getting-started?view=powershellget-3.x
You will get the same prompt if you try to install any module from PowerShell Gallery (including, e.g. Azure PowerShell modules)
You obviously could review the existing GitHub repo and use the underlying APIs to write a module yourself (or call them directly)
If the above response helps answer your question, remember to "Accept Answer" so that others in the community facing similar issues can easily find the solution. Your contribution is highly appreciated.
hth
Marcin