emulation is not the same as having support for a filetype on an operating system.
I can see what you're trying to say here, but you haven't really worded it well. As already mentioned, Wine literally is a recursive acronym that states that it
isn't an emulator. Also, all Linux distributions support the .exe file type in as far as storing them.
Therefore, there is support for the file type. It's just that Linux doesn't have native support for
running .exe executables. However, the Wine project does do quite a good job at that.
that sounds so much harder than just using windows
Honestly, package managers are far superior to the crappy installers which you need to use to install anything on Windows. Installation, upgrading, and removal can all be done super quickly within a single terminal in one session. If you're a noob and have chosen a noob friendly distro, they tend to come with their own GUI software center things with big buttons, kinda like Steam but for more than just games.