Did you actually attempt to run it using Mono? Mono specifically allows you to run an .exe file on Unix systems, so that there's no .app required. I don't currently have graphical unix system to test with, but I've previously run lots of .exe programs that have mono support on unix systems.
I was not aware that Mono was able to run '.exe' files. It didn't work for me though, I just tried it. I got an error about not being able to find a valid CLI image. Its still the problem I outlined though, it isn't running natively on macOS, it requires extra hoops to jump through and extra software that isn't necessarily installed on a users machine. As such, it shouldn't be listed as supporting macOS. In the same way that you can get emulators for console games to make them run on a computer, and while they may run they are not supported.