When a user goes into a zip file (a “compressed folder” in Windows’ terms) using the Explorer and attempts to open an exe file inside it, Windows usually asks the user whether (s)he would like to extract the archive’s content first, with telling that the app may not work as intended otherwise.
I can see the issue only if the user chooses to disregard the suggestion.
A zip file is one of the two supported formats for packaging notarized apps, so stripping that away really doesn’t make any sense.