@silverthunder I am of your opinion. Wubi is a helpful option for beginners and currently, I use Ubuntu MATE 15.04 installed by Wubi!. But you need an unofficial version that works for 15.04 as I described [here][1].
The iso of Ubuntu MATE 15.04 contains wubi.exe. So it is possible to run wubi.exe as you described above. But: It doesn’t find a matching iso for Ubuntu 15.04. It downloads the iso for Ubuntu 14.10 and also installs Ubuntu 14.10. The reason is trivial. The wubi.exe is for 14.10, although it is from 15.04 iso.
Wubi for 14.10 seems to work. But after reboot, you get a “too many primary partitions” error, which is unsolveable for beginners.
So IMHO it is not possible to install 15.04 running wubi.exe from an official iso.
[1]: Live CD Does Not Boot, WUBI leaves Too Many Primary Partitions error