Within configure_build.py I found this:

Maybe add Windows cross-compilation flags

if args.windows:
    mingw = "x86_64-w64-mingw32"
    command.append("-DFULL_STATIC_BUILD=ON")

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I tried changing to DFULL_STATIC_BUILD=OFF but during compile it seemed to complain about it and put it back on. I suspect this is causing the mammoth 20mb exe's?