Well. I think there is a problem with installer compression settings. I ask my redactor in chief for his alternative INNO script, which he use to create his own KiCad Windows installer. The effects are surprising:
The official KiCad release 4.0.7 has a weight of 722MB.
The last KiCad Nightlies BZR8471 has a weight of 750MB.
The KiCad Nightlies from INNO script has only 352MB!
The compression setting used by INNO is:
So, IMHO KiCad installer may be lighter, at the expense of a longer compile time.