Hi,
Under Computer Configuration, Software Settings we can only user the MSI package
https://learn.microsoft.com/en-us/troubleshoot/windows-server/group-policy/use-group-policy-to-install-software
To convert the software from exe to msi, you can refer to:
To https://community.spiceworks.com/how_to/160869-how-to-install-exe-with-group-policy
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Best Regards,