While modern installers often utilize the Microsoft Installer ( .msi ) format, a setup.exe is still used to handle tasks that an .msi file cannot easily perform on its own:
Developers commonly create setup.exe files using Visual Studio's extension. What Is Setup.exe? - Revenera Community
It can serve as a wrapper for multiple .msi packages or compressed CAB files, enabling a "single click" installation experience. 2. Types of Setup.exe Installers
It checks if dependencies are installed.
WhatsApp 
