I remember software, tools and some games shipping like this forever, typically they have a "portable" label slapped on them, bet you can find Windows software/games still shipped like this today, if you look for "-portable" or "-archive" rather than "installer".
One quick example, offers an installer or a ZIP archive, the "installation process" for the ZIP archive is basically "copy files out from archive && ./executable", installer does a bunch of other stuff: https://www.openttd.org/downloads/openttd-releases/latest
Sure, but it was (and still is, in some circles) relatively uncommon. I wouldn't claim "that was never the case", unless if you're only talking specifically about DOS I suppose.
It still is for a lot of Mac Apps. You download a DMG, and you get somethinglike [0] where you drag the icon over, and it installs. The last app I uninstalled also removed the matching Library Support folders, which was neat!
I don't remember this ever being the case, even in times of DOS.