As NW.Js support has been retired, use the Windows, macOS and Linux export options instead. For more details see: Exporting to Windows with the WebView2 wrapper...
For anywone looking to create a Windows Setup file that includes a direct X comment, there's a great tutorial here. (Be sure to look at the comment section for how to add the directx instilation section)
construct.net/en/tutorials/creating-setup-file-nwjs-game-1376