This is currently the way Neko works, and is expected. I resolved this before in our Windows C++ target, but Neko likes having a command-prompt (perhaps using the Windows “console” subsystem)
I’ve also found that Neko has trouble finding libraries, on a system without Neko installed, it might not run properly. I’ve been wondering if we should more seriously dig into contributing patches to Neko to improve it’s ability to be used in production (and for cross-desktop builds) or if we should consider an alternative, such as node.js, node-webkit or Java