> Can you please cite a source for that recommendation? Preferably
> some MSDN documentation.

http://msdn.microsoft.com/en-us/library/aa368269(v=vs.85).aspx 
http://wix.sourceforge.net/manual-wix3/add_a_file.htm

Specifically, starting in bold, where it says "In general, you should restrict 
yourself to a single file per component. The Windows Installer is designed to 
support thousands of components in a single installer, so unless you have a 
very good reason, keep to one file per component. Every component must have its 
own unique GUID. Failure to follow these two basic rules can lead to many 
problems down the road when it comes to servicing."

A little before that, it states: "The component element describes a set of 
resources (usually files, registry entries, and shortcuts) that need to be 
installed as a single unit. This is separate from whether the set of items 
consist of a logical feature the user can select to install ... While it may 
not seem like a big deal when you are first authoring your installer, 
components play a critical role when you decide to build patches at a later 
date."

I didn't say it's a must, but experience lends you to following the 
recommendation.
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