When you compress the game in RM (with or without encrypting), in addition to protecting the resources, you are creating an installer. But it's not a very nice or professional one. It won't check system specs, won't create desktop shortcuts, won't create an uninstaller. What it DOES do is package everything up that the player needs, without giving them access to the stuff you don't want them to have. This is good, but it's not enough for a professional game.
When you extract that into a new folder, you have what you WANT your player to have. But you want more - you want all those things above, and maybe more (maybe you want to set some registry stuff, add a EULA, have a nice image show while the game is installing, etc). So that's why you need to take the extracted contents (the stuff you WANT to give the player, which is not your original project) and run them through a third-party installer.
Hope that clears it up a bit?