Well, you're right, but there still should be a .zip file for "advanced" users, it makes things much, much better.
You can't get a quickly get a spare copy of your dds folder from a self-executable, you have to extract everything first and then delete everything again. Not a major thing tough.
But then there should be "are you sure?" an advanced version of Vista "are you sure?" that should allow you to execute "are you sure?" what you feel like
The reason for the move to exe only appears to be linked to the new auto patch system. I would also assume they got fed up with a constant stream of questions sent to support from people that could not unzip the file or that would unzip to a flat directory structure then wonder why LFS did not work.
In all fairness. MS have to sort Vista and make it usable. All the Trusted Computing is causing chaos and stopping adoption because of problems like this.