Why is the difference? Is it something extra we need to do to convert one into another?
The distributed executable is cross-compiled on Linux with MXE.
It's bigger because all DLLs are statically linked.
Windows installer offers to install data patch. Is this need to be done when/after compiling OXCE?
The newest Windows installer doesn't offer to install a data patch.
Data patch is (OXC) / will be (OXCE) included in the distribution itself.
And no, it's not required. It's optional.