I make said client, yes it comes as an .exe because it has a bunch of extra stuff (fame calc, roll calc, coupon codes for said website) that don't fit into the .swf. Its also used in order to streamline the update process, every time I patch something in it (often adding and/or fixing a hack) it'll pop up with a message letting you know and its a one-click way to update your client. Instead of having to return to the site / wait for MPGH approval. It still uses a .swf to actually play the game, and if you aren't brain dead its pretty simple to just play through the .swf if you don't want to see the website advertisement every day.
People are, rightfully, paranoid. But that client has been released for as long as WB has been a website, over a year now with a short hiatus for a few patches.
For all I care, download the thing and just use the .swf to play. You only really need the .exe if you want the roll/fame calcs and to save 10% on the actual site.
Derp-de-derp.