UUPtoISO is the first version, that's old and isn't supported anymore. Use either abbodi1406's UUP>ISO v4 or v5 or adguards version, you can find them at the OP. Not needed to post useless links to other forums.
That seems to have fixed it, the resulting ISO now has a Setup.exe as expected. Thanks for the help everyone.
When you have finished the installation, can you tell us if there is a watermark or not ? Thank you in advance.