As noted in https://github.com/python/cpython/tree/master/Tools/msi
===
When installed for all users, the following files are installed to
either "%SystemRoot%\System32" or "%SystemRoot%\SysWOW64" as
appropriate. For the current user, they are installed in the Python
install directory.

.\python3x.dll      The core interpreter
.\python3.dll       The stable ABI reference
===

However, at least with the Python 3.5.3 and Python 3.6.0 installers from the official download page, even an all-users install puts the relevant DLLs in the installation directory instead.

This is the both with the command-line option and checking the relevant box during installation.

I've also confirmed that it happens whether you add Python to the path or not. The latter is my use-case as I have multiple versions of Python installed and use the Python Launcher for Windows to select a version to run or virtualenv to build.

Looking at the source, I suspect this feature was completely lost when the MSI build system was rewritten in commit https://github.com/python/cpython/commit/bb24087a2cbfb186b540cc71a74ec8c39c1ebe3a (formerly https://hg.python.org/cpython/rev/e7dbef447157) for issue #23260 which removed all references to SystemFolder or System64Folder