That's intentional, and it can be very handy. Zip files were designed so that you make an archive self-extracting. They made it so that you could strap a self-extraction binary to the front of the archive, which - rather obviously - could never have been done if the executable code followed the archive.

But the thing is that the executable can be anything, so if what you want to do is to bundle an arbitrary application plus all its resources into a single file, all you need to do is zip up the resources and append the zipfile to the compiled executable. Then at runtime the application opens its own $0 as a zipfile. It Just Works.