> The executable is one big monolith that

I don't think this is entirely accurate and in fact, I think you'll encounter limitations in how big the .exe could actually be, before the OS says no, compared to Linux or macOS where you can pack more into it. But still, on all platforms, you won't have multi-GB binaries, you have external resources which among them are DLLs and whatever, and the binary ("executable") itself ends up some MBs. At least most (if not all) of the large professional software I use on Windows is packaged like that.

Large professional software has components like COM servers, or several executables sharing the same app code which then goes in a DLL. What they don't do is divide up their DLLs any more than necessary. An open source library could be a DLL to comply with LGPL but it won't be one just because they can, while on Linux it would be a separate .so because it's separately updated.

What are you making?