is that to my knowledge there is no option to bundle all the files together in the executable
It's not smart to bundle all files in into one big exe,either with py2exe or cx_Freeze.
The best way after making exe,dll in py2exe,cx_Freeze is to use software that make an installer.
I like Inno Setup
,it make one setup.exe you can give away.
This setup.exe is an installer for Windows,with an uninstall option.
When this is said we should also strive to get people to have Python or there system.
So we can distribute open source code this is the Python way,but in the windows world we also need sometime exe(so all can run it).PortablePython
is an option for people who don't want to install something on there system.