I don't think there's anything wrong with just having everything in the EXE. Sure, you get a large EXE, but I don't think Windows is dumb enough to load the whole thing in to memory - it'll load the parts it needs to start running it, then the resources (the big bit) will be loaded as required. Construct does keep PNG-compressed versions of textures in system memory to be able to quickly swap them to GPU when needed though, so there might still be more memory usage that way - although they are kept as compressed PNG so save memory. These days everyone has a few gigs of RAM though, I doubt it'd be a problem.
That way nobody can easily browse your artwork either (but they can still extract it if they examine the Construct source code and worked out how it packs them in to the EXE, but that's beyond the average casual user).