Why is it important to only have a single file? What difference does it make if some other files are involved?
While I don't particularly mind the way things are now, I can understand why a single executable would be nice. For me it is mostly a matter of convenience (laziness). If i'm sending my program to a friend (or publish for download), I would be able to send just a single file, instead of having to zip or otherwise pack up all the files, send it, then have them unpack to run.
While serious users/publishers could pack everything up nicely in an installer, I think that is beyond the majority of the users here and still adds additional steps for both the publisher and the end user.
It is actually very similar to the concept of saving as a project to a folder vs saving as a single file capx. Generally speaking the functionality for most users is all the same, but it is definitely a great feature to be able to save as a single file for organization and collaboration purposes!