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: 
It's not free but if you have any Visual Studio licenses, that has a great MSI packager available in it.
[Microsoft's Windows Installer XML toolkit](http://wix.sourceforge.net/) (WiX).