If there's a bug in Windows here, there's a bug in the JRE.
Are there any comparable virtual machines that require signed bytecode by default? I’ve personally never heard of it, most of the time it’s verified when the package is downloaded, rather than when it’s executed.
Windows is basically completely responsible for this: Windows validates the MSI, windows knows what an MSI is, Windows knows it will be run by the JRE and validates it just as an MSI instead.
I think Windows is aware of this though, it's called JAR and explorer says the JRE should open it. Furthermore, should there be any sections in a signed MSI that aren't signed? Could that serve any legitimate purpose? No, it entirely defeats the purpose of signing it.
I would not be surprised if part of the delay fixing this involved MS finding out early on that a major user of MSI files was actually relying on this (perhaps some installer creation tool or AV scanner?) and decided that the user needed to fix their product and distribute the fixed version before a Windows patch was viable.