Maybe its more about semantics, my personal preference of knowing what is inside an archive/compressed file, including most self extracting exe files. Something I am used to on other portable programs. Being unable to unpack this using any of my 5 tools including 7zip(capable to extrazt LZMA btw). For fun I also compressed the unpacked folder with 7zip and got it down about 9 more MB. Not that it matters too much. Managed to properly use your exe to install it correctly on most systems using VM. Still you got a point about about it not being the biggest deal in the world as the end product are exe files too. If you prefer having it in an exe go for it, just took me for a loop.
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