Detail information on running scripts on the recovery screen
Yes, from custom recovery there is generally a high risk of deleting everything in theory. Your data security is completely dependent on the developer's coding ability and your trust in him. Luckily a full backup should be sufficient enough to restore everything in case of damage.  

A flashable zip is usually pretty generic. in your example it's only purpose is modifying device specific things, so the reason is not the script language itself but simply the content of which apps will be removed. The first link is for indian apps, the second link is for samsung apps. Samsung is a good example because it has a separate partition for its bloatware - you need a flashable zip which delete apps from /preload instead from /system.  

linux executables doesn't have file extensions like *.exe - busybox/toybox/toolbox are just such executables. busybox is a multicall binary wich emulates most of linux commands like (ls cat dd grep find ...) in a single file. it's main purpose was to safe disk space. if you see any busybox app in Playstore it is always just a install helper for this binary.
android default is toybox (same as busybox but under apache license)
http://landley.net/toybox/faq.html  

Edify is a very limited script language only used in flashable zips
https://source.android.com/devices/tech/ota/nonab/inside_packages