The benefit of using an
.exe, especially on Windows is that you can achieve good compression and other features, while not requiring or relying special software.
Also at some point you have to execute an
.exe (Tor and the Tor browser) anyways. If you are worried about your system you might try Tails. You can run that either on a different system or with your hard drive removed.
However keep in mind that with Tor being open source you can compile the project from source code on your own, creating your own executable. Especially on Windows you usually have to trust executable.
As a side note: Tor is under the BSD license, which means Microsoft could integrate Tor into Windows. In fact they integrate a lot of BSD licensed software already, just like Apple does on their system. Since one has got to rely on the operating system in first place privacy minded companies could probably be urged into doing so. This would probably be the most secure approach.
Speaking about compiling the source code in order to be able to trust the code you run. The Tor project is working on deterministic builds, which means you would be able to even compare the outcome of one person or company compiling it with the outcome of another in a cryptographic manner, which allows one to trust that the code hasn't been tampered with prior to compilation.