Isn't this possible by design? All Windows executables at least used to be also valid DOS programs that just output "This program cannot be run in DOS mode".
On the other hand, for some small-sized demos DOS stubs were completely discarded to make room. I recall many Farbrausch demos had a hard-coded "stub" that simply reads "farbrausch".
From the intro...
> DOS and Windows .exe files both start with a common header (the DOS "MZ" header), which might suggest that you can run programs for one OS on the other one. However, this is complicated by a few facts: DOS support was dropped in Windows a long time ago (DOS binaries don't load on Windows 10, for example), and DOS programs use a completely different execution environment.
> This repo builds a single .exe file with a "polyglot" MZ header which allows it to load one program (the original DOOM) when running inside DOS, and a different program (a custom static build of Chocolate DOOM) when running on Windows.
tl;dr: Yes, it was originally by design, but very rarely used in practice (most use the default text you mentioned), and isn’t exactly straightforward in some tooling (but not hard either, as evidenced by the simple Python script here).