Your scripts still run as native PowerShell, but are encapsulated into an EXE file. To quote the Microsoft Web page referenced above, the utility "does not convert the PowerShell script to an ...

Recently, however, I was surprised to learn that Microsoft provides a free utility that can convert a PowerShell script into an executable file.

Bat to Exe Converter is a free Windows tool to convert BAT files to EXE easily without using CMD. You can also use this Bat to Exe online tool.

Renegade's Random Tech weblog has a simple how-to for converting batch or .VBS scripts into executable forms using a lesser-known Windows program called IExpress.