yes but like you just quoted, it will ONLY work on windows (or dos, but no one uses this anymore) computers.
So it's definitely not the choise if you want it to be available for all computers. There are multiple other operating systems too. For example .avi can be used in (probably) all of them.
well you mentioned mac
a few other examples:
linux (huge amount of different distros)
bsd operating systems
other unix based operating systems
basically anything that is not made by microsoft.
It's possible to get .exe files working on (probably) all of the operating systems mentioned, but it's not automatically supported by the OS. And getting an .exe to work is not always an easy thing to do.
Like I said, if you want a video file that can be run on any computer you will choose something else than .exe.