Rockets follow a curved trajectory when going into space because their objective is not only to reach space, but also to enter Earth orbit. In Earth orbit, rockets have enough speed to counter Earth’s gravity and do not require a lot of energy to stay up there. To enter Earth orbit, a rocket needs to attain a high enough horizontal speed.
Flat-Earthers claim the curved trajectory of any rocket launch tells us no rocket has ever reached space. They are wrong. The curved trajectory is a way for rockets to enter Earth orbit.