I'm wondering if I'm experiencing this same issue.
In a simple directory with a foo.py and a bar.py where foo tries to import from bar I cannot get it to work with the embeddable 3.6.0 zip, but the standard 3.6.0 that gets "installed" works fine.  Also 3.5.3 works fine

C:\Users\eric\Desktop\wtf>more foo.py
from bar import bar

print(bar('hi'))

C:\Users\eric\Desktop\wtf>more bar.py
def bar(s):
        return s.upper()

C:\Users\eric\Desktop\wtf>C:\Users\eric\Downloads\python-3.5.3-embed-amd64\python.exe foo.py
HI

C:\Users\eric\Desktop\wtf>C:\Users\eric\Downloads\python-3.6.0-embed-amd64\python.exe foo.py
Traceback (most recent call last):
  File "foo.py", line 1, in <module>
    from bar import bar
ModuleNotFoundError: No module named 'bar'