Been trying to think of a term for this issue. It’s not quite chicken or egg. But both sides need the other side to incentivize them. If one gets going the other will follow, but they’re waiting for each other. Like some sort of collaborative standoff.
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.