Sure but you can get much more if you use a more exploitable file type in the first place. Why would you willing jump back into a browser's sandbox when you've just persuaded the user to bypass it entirely?
It's not so much why someone would choose this over that, as it is what attack vectors are added to which surface. Why wouldn't a bad actor be willing to jump back into a leaky sandbox?
Because you may of had zero access rather than some, for example a web dev who wouldn't click on an .exe but would open an .html file without a second thought. More access isn't necessarily always the end goal either.
