Why Lazarus do not have a REAL INSTALLER, with ALL STUFF INCLUDED?????
Because usually everything you need is in your distro's repository. So it's a waste of space if the installer also includes them.
Is so simple to install it in Windows!!
Windows have all libraries used by Lazarus preinstalled, because they're native (otherwise, you'll be back to old DOS). Linux don't have native GUI libraries, and you're free to choose which one to use since Lazarus not only supports one or two.