Microsoft store applications are conceptually similar to the dmg/app approach macOS has taken (and have most of the same limitations and restrictions).
A few design decisions from the early Windows days tend to keep installers around on windows, though.
Windows uses a single shared registry for persistent application settings (instead of something like a plist/config file local to the application) which has some clear upsides because settings are centralized and can be deployed fairly easily by admins and applications can read settings for other applications and change behavior accordingly - But... it also means applications need a step to configure those settings at install time.
Additionally - Windows is a MUCH more diverse ecosystem than macOS in terms of hardware (and the associated software). Installers give applications a chance to ensure all required dependencies are correctly in place.
Finally - There's a lot of work and tooling for enterprise customers in Microsoft's MSI toolchain. Not the least of which - they can allow enterprise customers to verify the exact state changes on the end machine that will occur as a result of installation, and to do updates as patches rather than complete replacements, making them much faster and less network intensive (matters when you're deploying a patch to something like say Visual Studio, which is 40+GB on disk on the small end).
Basically - Installation is a lot more complicated with a wide variety of business use-cases, much less hardware control, and a strong legacy of supporting old software.