distutils allows a post-install script to be declared, which is often used by windows installers to create entries in the start menu. This feature was not implemented in setuptools (see http://bugs.python.org/setuptools/issue41).
I understand there are plans to deprecate easy_install in favor of pip. It may be possible to run post-install routines for source distributions with pip, by implementing custom install command classes, but pip does not support setuptools extras (install foo[bar]) and is currently only compatible with source distributions. Plus the pip documentation is not encouraging regarding support on windows. I am not familiar with all the issues regarding implementing this feature in Distribute, but it must be possible since Enstaller supports it.