Question: I'm looking at deploying some software via GPSI and the current version of the software is distributed as a .exe so I need to convert it to an MSI file.

furthermore, why does MS still distribute some of its software (WMI Tools) as .exe

Answer: 
Check out WinINSTALL LE:

<https://www.softpile.com/wininstall-le/>

You have to install the program, and it will watch what happens and create an MSI installer. I usually make my installs on a clean VM so that it doesn't catch background activities of programs I usually use.
It's not free but if you have any Visual Studio licenses, that has a great MSI packager available in it.