Recently I built my game and realised the .exe file has to be inside the games folder for it to run. I noticed other games made with unity (such as slender) have this problem too. Is there a way for the game files to be kept somewhere else and the .exe to be by itself?
No there is no way to do that, and is not a problem at all(at least not for me an the most other developer i guess). Why do you think that that is a problem?
Steam requires a .exe (Standalone Executable), yes, because other formats won’t work. Example: If you have a Flash game, you would need to wrap it into a .exe first as stated in the Steamworks Documentation somewhere.
I think you quite don’t understand, how this whole Steam thing works ^^
You upload both .exe and the GAMENAME_Data folder through the Steamworks Backend as a “Build”. You’ll also define the name of your .exe inside the Backend. If someone buys your game and downloads it, both .exe and GAMENAME_Data folder will be downloaded into the users SteamApps folder (where all Steam Games gets installed).
Steam already sells a lot of Unity games that are the same way with the whole file structure. Just as Unreal which has an even larger file structure for games … and all the other games that use their own engines and still have a lot of folders. As Mauri said: it’s perfectly fine the way unity compiles.