When is a Delphi application too big for a single EXE?

If I compile my entire Delphi application to a single exe, that file will grow to 5MB, 10MB, maybe more. When is that too big? What are the issues with this? This is a commercial application, currently on Delphi XE.

I'm aware of the option to Build with Runtime Packages. That sounded like a good idea, but I see comments here noting that there are some issues and disadvantages.