Hello Markus,
You would't have to place each extension in a separate feature (than its associated EXE). All you have to do is to make sure the EXEs to which each extension is associated are placed in separate component. Then, you should use complementary conditions on the component of each EXE. An extension is installed only if associated component (from "Organization" page) is installed.
Here is a straight-forward test case you can use:
1. go to "File Association" page select the first extension and from its context menu choose "Go To Component" option
2. in "Organization" page, on the selected component add a condition like this:
3. repeat the first step for the second extension
4. in "Organization" page, on the selected component add a condition like this:
5. rebuild and test the scenario
If you have any questions let us know.
All the best,
Daniel