Looking at my Humble Windows games about 50% have installers and about 50% ZIP files.
I don’t have a lot of games on itch.io but most I have seen use ZIP files.
Here is an example of a game I’ve posted recently which uses an Windows installer:
Captain Disaster in: Death Has A Million Stomping Boots
Of course developers try to have as few dependencies as possible but sometimes you have them.
On Windows very common ones are versions of Visual C++ Redistributable, DirectX and .NET Framework.
Looking at my Windows Steam games 30% need Visual C++, 45% DirectX, 8% .NET.
Games on Humble which offer Steam keys only are rather useless. But not completely: IF I want a game which is only on Steam I rather pay Humble money instead of giving Steam any payment information.
They publish their (PC) games themselves.
For a comment about itch.io see
He considered putting it on there later. Apparently it didn’t happen.