These tools essentially take a jar and output a exe. One of the things i hated about Java was if i created a simple utility which consisted of a single class (or jar) i still had to create a bat file which invoked the jre. The end result being two files cluttering up my util bin folder on my computer. These utilities take care of that and do a lot more like finding appropriate jre and providing error messages to inform the user what they need to do.
Another tool i came across but haven’t downloaded or tried yet is
IzPack C which is a cross platform Installer written in Java.