I found something that works. You can set the media type in the release wizard to the Web type. Then set the web type to 'Downloader - Setup.exe downloads .msi package'. On downloader options, you will have to enter something in 'URL for your package...
I noticed the same thing after upgrading from IS 2012 to IS 2015. With 2012, you used to be able to generate a setup.exe with the prerequisites embedded in it and and MSI with all Cab/product files streamed into it. We did this so that users could pu...