"|sh" is such a great thing I completely agree! I'm so glad to have opened your eyes to it! I use it all the time! (And it's not even specific to awk at all really! (xargs/sed/grep/tr/etc are all so helpful here! Heck.. make a python script that prints out commands and whack "|sh" on the end! that can work too! (very slow in comparison to awk tho!))
At work there are complex shell-environment cases where this type of redirection doesn't work because it needs to run in the actual-current-shell, not just a new shell spawned for your user which is what "|sh" does.
To work around that you can instead redirect the output to a file and source it into the current shell instead! It is a totally easy thing to do as long as u have somewhere you can write a temporary script file to! I use a 'tmp' dir in my home directory to do this (via an alias of course), like:
command > ~/tmp/bonza.sh; source ~/tmp/bonza.sh
Hopefully you won't have to worry about that in the short-term but I think it's good to keep in mind as an option when things don't work with "|sh" in more complex shell environments... generally I think it's really quite easy to generate a runnable script-file using redirection-to-awk, when u know how to use it! Very well worth the effort to learn!!