Lazy programmers. Really.
Writing install scripts is about the worst drudgery in the programming world. It’s boring, yet has to be extremely detailed. Absolutely no creativity is involved, and most programmers would pull their hair out before writing an install script.
So, they take shortcuts. The “exit all programs” thing is bad enough - what’s worse IMO are the ones that force you to reboot. The only reason you need to reboot on installation is if you’re installing something at the file system level - something few programs do. Anti-virus programs are probably the only ones a casual user will ever encounter that need to do any sort of installation at that level.
Almost anything else can be programmed around, with enough work. But few programmers want to do the work, so they tell you to close everything and reboot. Next you’ll have to install things only during certain phases of the moon and in a clean room.