EXE/Program size in general I don't see been a massive issue for say Window/Linux/MacOS etc.
But for WINCE it does, I've recently been developing WINCE Apps, and unfortunately I've come to the decided the LCL bloat practically makes it useless for WINCE. Unfortunately the EXE was about 5 meg, and at this size the WINCE device I was using would start to Stack Overflow, I assume the Stack for WINCE is shared with the same address space as the program. And it's not like I didn't try optimizing, eg. Smart Linking etc, even Full Code optimization etc. In the end I've had to use KOL, and this brings the EXE down to 1 Meg, that the WINCE device has no issues with.
ps. Yes, I of course excluded Debug info too, with debug info the compiler would even say it's too large.