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The installers do still exist actually and are created for each version - see here. The issue is that the installer tends to cause issues with antivirus software because it’s unsigned and getting a proper signing certificate would be a lot of time and effort (explanation here), so the link to it was taken off the website main page. The reason being that people won’t have issues with antivirus if it’s launched via the client, though my understanding is anyone downloading the standalone zip is likely to have the same antivirus issue when running wesnoth.exe as they would with the installer.

The release announcement posts on the Wesnoth forums do also still have a link to the installer.