Unfortunately, kali.sh isn't owned by us, so we can't control that that script isn't available. However, if you go through the video, you can see that the script itself is echoed to the console, so you can type it in manually.

#!/bin/bash
echo "[+] Installing XFCE4, this will take a while"
apt-get update
apt-get dist-ugrade -y --force-yes
apt-get --yes --force-yes install kali-desktop-xfce xorg xrdp
echo "[+] Configuring XRDP to listen to port 3390 (but not starting the service)..."
sed -i 's/port=3389/port=3390/g' /etc/xrdp/xrdp.ini

Here are the contents of the script as well.

Script ~ https://gitlab.com/kalilinux/build-scripts/kali-wsl-chroot/-/blob/master/xfce4.sh