They are always included in original binaries from MAMEDEV.org. If they are somehow not in the official packages, it sometimes happens. They are intended to be in all binary packages.
Ah right, I was looking at my MAMEUI directory instead of MAME. Then what I should have asked is, how come all those .exe files are not included in the MAMEUI download?
I was curious about those eleven .exe tools, but only one of them is listed with a description in the MAME FAQ Tools section: http://mamedev.org/devwiki/index.php/FAQ:Tools
The rest are missing or have no description.