There are plenty of advantages over a basic setup-based installation, amongst them:

• You are sure to find an entry on Add/Remove programs, in the Control Panel.
• What has been installed will be uninstalled, and only this. This means that if the MSI created a C:\MyDir\ folder, copied a Myfile.exe inside, and if afterwards you added a C:\MyDir\Myconfig.ini file, at the uninstall process, everything will disappear, except the Myconfig.ini file. This is clean.
• The install/uninstall process is even more clever. It makes use of a counter. So, if a registry key is used by 4 applications, and you uninstall 3 of them, then the registry key will remain... until you uninstall the 4th application.
• There's a repair mode, which operates automatically in case one key file has been deleted.
• Shared ini files are never overwritten. Instead, they are read, and appended or modified. When uninstalling, the ini files are restored to what they were before the installation of the MSI.
• No DLL conflict to fear.
• Upgrades from a version to a newer one can be done easily.
• And many more similar features.