I'm not a fan of it either, but I'm not sure how else this could work seamlessly. How would you ensure that everyone you share your Excel file that utilizes Python has the expected Python setup on their machine? What if they have an older version of a library you used that breaks your script? What if they don't have Python installed at all?
While this will only work on Windows desktop at first, Microsoft plans to roll this out to "other platforms" over time. Is there any other way for this integration to work for Excel for web, iPad, and/or Teams?