I have asked a similar question before. This is the reply I had at the time (quoted from memory):
The .zip contains everything that is part of MySQL. This includes the test suite written in Perl and even *nix shell scripts etc. that will make no sense for most Windows users as they most often don't have enviroments to utilize it (a Perl environment, Cygwin etc.).
The .msi contains everything that is required to use and maintain the server on Windows - but not what requires unix-style environments installed.
If you install the .msi and download and unpack the .zip and compare the contents of the packages you will see a few folders in the .zip that are not in your installation created with the .msi.
-- Peter
-- Webyog