You "can" actually have more than one exe version installed on the same system too, but you would need to customize certain things to be sure each instance didn't interrupt the config of the other. It's just a lot easier and cleaner to use the portable zip version if you plan to run more than one instance. As Lobo suggests, the portable version can be easily run from anywhere, even a flash drive if you have a fast 3.1 USB port.

I currently have about 5 versions of Blender on the same system. 2.83LTS, 2.93LTS, and a few experimental versions like 3.0 alpha. All portable versions.

Edit to say: I believe Blender Foundation has fixed certain things about the exe that will allow you to install multiple versions, just as long as they are different versions. Problems can occur when you try to install something like 2.83.1, then 2.83.3 or whatever on the same system.

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