I don't know if it's the case anymore, but that's been the state of windows installers for a long time. Usually the easy-to-download one was tiny and just phoned home for the real bits. And that wasn't just Microsoft's own stuff, but even things like Java and whatever.

Usually you had to dig a bit and could find an "offline installer". Sometimes an "alternate downloads" link is on the initial download page, sometimes you have to good to find a deeper link on the vendor's site.

I always did that just to keep from needlessly reaching out to the internet X times when updating X machines.

And of course, make sure you're getting it from the vendor and not some sketchy download site.