Okay, am I doing it wrong, then? Should I hold Option when I double-click the .exe file?
Or maybe it's a third party application that is allowing you to run them, meaning you're a hypocrite and my argument is sound.
Your argument is ridiculous on so many levels its difficult to believe you can be so ignorant.
The complexity of making an exe work on OSX is several magnitudes greater than making a device sync with iTunes. Secondly, you can run Windows on your Mac, or run Crossover if you want to run .exes. Thirdly, and this is the most painfully obvious, .exes do not run on OSX because of the vast differences in those two operating systems and the different directions Apple and Microsoft choose. They are not the result of a conscious effort to make .exes incompatible with OSX, unlike Apples efforts here.
Now stop trolling.