Running a Powershell script is not a problem per se, but what the script does is the issue. Almost every admin runs day to day tasks that are easily automated, and creating Powershell scripts is one of the best ways to automate things.
I would be very displeased if I was an admin and had denied the right to run Powershell on my workstation. My productivity would crater, and I would take way more time to do a lot of things.
Powershell does not magically creates security issues. It's just a scripting tool. Powershell cannot do anything itself that is not allowed by Windows anyway. But what the admin does is the issue. Does he log in everywhere using his admin rights? Do it work as admin or as the normal user? Do he bypass corporate controls and change things outside a change window or without proper process? Those are the issues, not Powershell.