Another option (don't know if it's a good idea or not) is to not
include any README file in the installer. Is it really worth it? Why
not pointing to docs.python.org/3.7/ for example? Or suggest to
install the "Windows help file" package?

I just checked on my Fedora 25: the python3 package includes
/usr/share/doc/python3/README file.

I also checked if any other package include .rst doc: I found a lot of
them. As you may expect, most Python packages.

But for example, the "dnf" system tool used to manage packages only
uses a README.rst file which even includes a reference to an external
image:
https://raw.githubusercontent.com/rpm-software-management/dnf/gh-pages/logos/DNF_logo.png

You can find dnf README file at:
https://github.com/rpm-software-management/dnf/blob/master/README.rst

Other examples of packages including reST doc (excluding python*):
devassistant, koji, vex, fpaste, pypy, git-review, hawkey, subunit,
libbytesize, etc.

Ah just to be clear: Fedora packages provide reST as plain text, .rst
files, not HTML.