1) XM-EXE is no music protection. Apart from the fact that you were even able to extract the module files through the GUI iirc, it would not be that complicated to strip it directly from the EXE file either.
2) What's the matter with not having to open a media player? XM-EXE was useful when noone out there had a module player, but everyone has a MP3 player these days.
3) The GUI is definitely optimized for modules, most of the options would be useless for MP3s.