I totally understand your point of view, but to me is this is fairly subjectively coming from the eyes of a dev.
But in my opinion from the point of view of a person that just wants to play games, the convenience will always win (as long as quality is on par). Downloading just takes so many more steps: downloading, searching the folder it's saved to, clicking on the game, unziping, clicking on the unzipped folder, searching the right exe and then uninstalling after playing.
If you have read about UX you know that keeping the amount the user needs to click and wait to get to the desired result to a minimum is very important.