That happens because, as default, .NET Core Runtime is added as a pre-install prerequisite. Pre-install prerequisites are handled by our EXE bootstrapper, thus when adding one, your package is automatically turned from MSI to EXE.
As a workaround to this, you can move your prerequisite from pre-install to feature-based and then go to "Builds" page and change the package type to "Single MSI (resources inside)".
However, please keep in mind that this does not work for every prerequisite. For instance, .NET Framework x.xx can not be added as a feature-based prerequisite due to its setup complexity.
Hope this helps.