The exe is likely built from open source code. Maybe someone modified the code to insert a back door before building? If you use precompiled binaries, you have to trust

* the maintainers of the project, who built the executable, and

* that the build process itself hasn't been compromised.

Since a selling point for cryptocurrencies in general is that it's a system that works without having to trust third parties, the argument being made is that it should be easy to build things from scratch.