Well, don't forget that the Windows way is only effective because Windows is
very popular. Because Microsoft doesn't help provide software, you only get a
program if the developer of that program takes the time to build it properly
for Windows, or if you compile the source yourself (not a fun task on
Windows).
As for dependency inclusion: some people who distribute GNU binaries actually
do that. I think Ryzom is an example. But it's not universal for distribution
of GNU binaries. This isn't because of a superior design in Windows, but
rather quite the opposite: because Windows has no reliable way to share
dependencies, developers are forced to include these dependencies with
Windows binaries if they want them to work without a lot of manual work. With
Ubuntu, on the other hand, the software developer only needs to package their
own software and use libraries from the system.
In short, the system Windows uses doesn't work because it's a good system. It
works because it's a terrible system being used on a very popular OS. You
just can't do it on a system that isn't as prominent as Windows.
