Because the EXE is bloated with Skype addons and toolbars. the MSI installer is the lean and clean version
i have a shrewd suspicion that all those m$ skypes are useless for contacting people still using the old versions, and that there will be a new skypesetup.exe in %local to edit,cut and paste into the bin.[quickest to get rid of it, i found,] m$ is starting to behave just like a virus.. so; esteemed fellow members; you can press `like` as much as you please, but i do not like it a bit.
And you'd be right. Skype is bloated, filled with toolbars and ads and calls home a lot. There is nothing to like about it since MS took over and destroyed it.