EXE format is an Executable File (.exe) which contains your show for Windows (Vista/7/8/10).
Pro's:
Fast creation time for an EXE file (compared to MP4 Video)
Manual control for a show (see the Project Options > Control tab)
Original quality of your images and better quality of transitions
Automatic refresh rate for current monitor
Smaller file size
Con's:
Only for Windows
Cannot be played, directly, on a Television
Potential issues with a compatibility with future versions of Windows