I had the same problem. I think there's definitely a bug in the script. If you take a look at the script, you'll notice a number of options. Try executing the script with the '--keep' option. This will prevent it from deleting the directory with the uncompressed files when the script terminates.
This option fixed everything for me. If it does not for you, you can still attempt to go into the newly created directory and run ./displaylink-installer.sh manually.
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