there DO exist tools to extract files from just about any recoganisable archive, including exe. So that problem is milder. But the real problem is that they gave a self extracting exe. What was its point ? Why not give some format that works on all OSes by default like .zip ? If you argue about windows 98, you should be staying in a time 10 years back, not now. Now only win xp and win vista are active. even the former is 7 years old.
And yes, the more serious issue is the RPM. Linux also has several NSIS equivalents, and a few softwares have .bin installers. Why not them ? Why a distro dependant package manager package ? Or, they could have given plain .zip or .tgz files too.