Because the Users<username>\AppData\Roaming\audacity\Plug-Ins can be difficult for novice Windows users to navigate to, the Nyquist Plug-in Installer is very very handy. Can the same be done for DLLs?
It’s a lot trickier for other types of plug-ins.
Nyquist plug-ins are native to Audacity and the method / place for installing is fully defined on all platforms. Also, there is a location that Nyquist plug-in can be installed that does not require elevated privileges (admin rights not required).
Many VST effects have special requirements for installation and many come with an installer. VST effects are normally placed in the system Path so that they are available to multiple applications, and that normally requires admin rights. I don’t know if it’s even possible (in all cases) to automatically detect where / how other types of plug-ins need to go. “Users<username>\AppData\Roaming\audacity\Plug-Ins” does not work for all plug-ins - sometimes it is necessary to read the instructions 
In short, the reason that the Nyquist Plug-in Installer only handles Nyquist plug-ins, is because it can do so very reliably. I don’t know how to do that for “all” plug-ins, so I made the plug-in installer specifically for Nyquist plug-ins.