I don't see the big issue (from a windows perspective) as the swf automatically opens flashplayer through association anyway, so its a matter of why add several megabytes to the swf just so its executable(and it only takes 10 secs to open the swf and create an exe from the player anyway).
The flex objective is to create an application that runs in a browser, thats why we have AIR for those that want desktop operability.
I consider AIR to be Adobe's version of Apple's Quicktime. Like QuickTime, users must have the full AIR engine prior to viewing the application. The Projector files solve this issue by simply wrapping up your existing swf within a fully operational Flash Player. Also, there are security issues with some .swf files. I have a project now (web based) that uses xml files in conjunction with an swf file (in an html wrapper). After publishing the web project, it isn't possible to open the html page as the swf will give security errors. (online of course it's fine). If, however, I open up the swf (which will automatically give security errors as well...) then create the projector - that projector will work fine. I can offer this as a desktop version of the app without having to completely author another AIR-architectured Flash Builder Project. It is just about convenience. The .app and .exe versions are simply a convenient way to deliver desktop apps that don't need all the features of an AIR application.