There's a few reasons! You'll often get windows firewall stopping it from running with spooky messages about how it could be a threat, I'm assuming because you're not a verified publisher, but I'm not super sure about that. Also If you don't generate project images then you get the default GMS2 images which takes away from the polish of the end result. But most importantly, a zip is way more convenient for the end user when all they have to do is unzip and play! :D
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My friend rsvp asap is right here, it is more convenient to use a zip, I know that this is not a virus or something similar, obviously, but Windows does send a somewhat aggressive warning message.
In addition, being an installer makes it lazy to test the game, the best practice is to make your game playable from the browser, that way anyone can simply click and play without downloading or installing anything, win win
I completely agree that making it into a browser game would be a lot more convenient for the user, but I've read that GMS's browser plugin sucks horribly, and I didn't want to waste time trying to figure it out seeing as I've never messed with it before. If anyone has any tips to make it a viable option, be sure to let us know and we will surely implement Browser Support!
-Damon Billiot