That's a perfect example of something that is both easy AND a headache. It's not certainly difficult to do, but I don't want to be replacing my gvim executable with one provided by an anonymous forum user just to make one script work. Ignoring the potential security issue, what happens when I want to upgrade vim, or run another script that's similarly "easy" to install on Windows?

I can't speak for other vim users, but I haven't had a lot of luck with distro versions of vim and Ruby/Python extension scripts on Linux either. After fighting with it for a while, I ended up just declaring my .vimrc to be a VimScript-only zone. It sucks losing Gundo and Command-T and a couple other great plugins, but it's done wonders for my sanity, and everything works well on Windows as a bonus.