Like Cringer said the OE compiler only generates interpreted run time code (.r) and not a true executable. You will need to have the appropriate OE runtime licenses in place to run the code on different machines.
The benefit is that code written and compiled on Windows can run on different Windows versions (including 32 vs 64 bit) as well on different variations of Unix/Linux. Not to mention that this is part of the OE business model.
Even Progress does it that way. Just look at the Downloadable Progress Knowledge Base (ProKB).
That start menu entry runs a batch file which essentially calls
_prokb.exe -ininame ProKB.ini -pf .\Startup.pf -p _ProKB.r
(I assume _prokb.exe is a renamed prowin32.exe.)