This is exactly the approach of newer application formats in the Linux world such as flatpak and snaps.

The problem, though, is that all the libraries are duplicated on disk. Flatpak and snaps get around this by recognizing when there is a shared dependency and only downloading it once. But if you "bake in" all your dependecies into a single executable file, that would cause pretty significant inflation for program sizes.

This may be less of an issue now as disk space gets cheaper and cheaper, but it still feels like a step in the wrong direction.