Self-decrypting archives are a bad idea.
They are a self-inflicted security exposure. You're sending an executable file to someone and asking them to execute it? And then, just to add gravy on top, you're asking them to type their password into this untrusted program they got from who-knows-who? Nuts! That is effectively training people to behave in an insecure manner. Using self-decrypting archives is just asking for problems down the line.
Using a self-decrypting archive is a statement that you have a file so sensitive that it needs to be encrypted, but so harmless that you are asking the recipient to throw caution to the wind and disregard standard security practices. That doesn't make sense.
Personally, I think that GPG's lack of support for SDA's is a feature, not a bug.