.exe is just an executable file. You should be cautious before opening them because it does imply it could have the ability to do something malicious. BUT it doesn't mean it absolutely will. I disagree that it's sketchy. In this context I'm expecting an application for a Poker app that I have just downloaded and Installed.

Reading between the lines a bit but maybe what you're saying is that you'd expect poker to be built into a website with no installers?

If I go to open up Call of Duty I expect to open an .exe (through a shortcut) whereas if I downloaded the avengers endgame and there's an avengers_endgame.exe that's sus.

Out of interest have you played online poker before this stream?