Hi!
The best way to release a game for the app is to make it self-contained, like you said.
InnoSetup is supported, but not discouraged, see https://itch.io/docs/itch/integrating/compatibility-policy.html
Apps are installed in whatever install location is specified by the user - by default, in `%APPDATA%/itch/apps`, but they can specify another drive, etc.
As for shortcuts, the feature is planned: https://github.com/itchio/itch/issues/864
When folks download directly from the website, they just get a .zip file with your self-contained game inside. We're going to be pushing the app more in the future, we already recommend it in support whenever folks can't figure out how to extract a .zip!
Don't forget to upload with https://itch.io/docs/butler/ for many benefits listed on that page.
Hope this addresses your concerns!