I have an application that needs to be delivered as a package.
It depends on what kind of EXE you are talking about.
MSI is setup package that is run by Windows Installer. If you make setup project with Visual Studio it will provide both MSI and EXE for you. EXE in this case just a bootstrapper (MSI or EXE). It will run MSI after checks that Windows Installer is in place.
If you use other tools like InnoSetup, this EXE is a setup package itself, not a bootstrapper.
Regarding to your question about MSI editor: Orca MSI Editor.
If don't need need very complicated installer, I suggest using Visual Studio setup project as it is simple, yet powerful enough.
Many installers these days use MSI internally although they're distributed as EXE. You need an EXE to ensure all the prerequisites are installed: .NET framework, for example; and it installs the prerequisites if they're not. Then it extracts the MSI package which handles the rest of the installation.
MSI provides some advanced install features:
Though it takes some time to learn the technology.
You can do anything from an EXE file, while MSI is for installation only. Inno Setup and NSIS installation packages are distributed as exe files. They have a scripting language which describes installation steps.
WiX toolset has MSI decompiler called dark
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