Being able to filter or disable network access (aside from what github requires on their side to interact with actions) would definitely be useful, but AFAIK that's only an option for self-hosted runners and enterprise accounts.
Yep, I agree completely. It's unfortunate that self-hosted runners are otherwise so difficult to secure, since controlled ingress/egress is otherwise an extremely strong motivation for using them.
curl -sSL https://example.com/install.sh | sh
In your action. For sure happens.