DGDK.NET runtime requires several dependencies which is why DGDKSetup.exe is needed. It does have a silent install option as well, and it checks if the system has already been installed with DGDK.NET to prevent conflicting versions etc.
I have to disagree on the opinion that it is unprofessional since this is a COM component which requires registering, and to ensure that DLL dependencies are met before the component can be registered. You would still need to install the .NET framework as well before any .NET applications could run, so this isn't really all that much different. Also, not all users will be confident enough to create their own installations, and DGDKSetup.exe solves this problem for those users who want to get their programs up and running on third party computers.
If you still feel obliged to distribute and register the component yourself, how were you proposing to do this?
May I also suggest taking a gander over this thread as well:
http://forum.thegamecreators.com/?m=forum_view&t=92556&b=22
Paul.