It's like irishron has stated. The kingdoms.exe stores information which is used by the campaigns. Every time you launch a campaign, you are using the kingdoms.exe . Just look at the properties of your shortcut.
Code:
"D:\Program Files\SEGA\Medieval II Total War\kingdoms.exe" --features.mod=mods/teutonic
The important part is the stuff after --. This can be done in the shortcut extension or with a .cfg file, but that is how it uses it with the specified files. If they connected the Kingdoms.exe to any of the 4 filesets, they would need to give you 4 exe's. And if they gave you 4 exe's, you would get different features in each one, which means mods would have to pick and choose which features they include, whereas now we can combine any feature from all kingdoms campaigns into our mods.