Most software either requires or is just easier to make with supporting files. Those files might be configuration settings or saved data or files that help the program run properly.
Also uninstalling a program is not always as simple as deleting the files that showed up when it was installed. Many programs make changes to your computer that aren’t apparent to general users. When you run the uninstallation software it (should) undo these changes.
Also file size and pains with updating that file, as someone else has said now.
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