All EXE are created with launch4j, so it seems that the EXE generated is no more valid in all Windows system now (I can only test in Linux with Wine and all works fine). I know that launch4j is not more developed as Oracle include a tool for creating EXE in the JDK, but not in the Java way (You can produce the executable only within Windows!).
I will try to use the libgdx exe wrapper for the next version (the advantage is that the EXE is a fixed one, the disadvantage is that it needs an external configuration file and cannot have the JAR inside).