It's hard to make things easy on Windows - it's law of nature.
SQL server and a few of the other behemoth apps seem to have a very hard time staying separate from windows which is annoying.
In Linux the design benefit is that there are package managers and the flaw is that there are many. Shipping a simple binary installer for multiple distributions is still tricky.
Because you're bypassing the package manager. Packaging isn't all that hard, much easier than building your own binary installer that handles multiple platforms.