It is what it is. I know you're capable of copying the .jar wherever you want it and making a shortcut to it, which is all the installer would do at this point. I'd rather just have the .jar to keep track of than have an EXE that ties it to a specific platform that I also have to support. Everyone else seems happy with the way that it is right now.
I'd ask, when will Windows, OS X, and Linux support .jar files properly? There's no ambiguity about what they are, and all three OSes support file associations - so there's no reason why you shouldn't simply be able to download the .jar and double-click on it to run it. Although I have noticed that at least one version of IE tries to rename it to a .zip for reasons unknown.