Within configure_build.py I found this:
Maybe add Windows cross-compilation flags
if args.windows:
mingw = "x86_64-w64-mingw32"
command.append("-DFULL_STATIC_BUILD=ON")
--
I tried changing to DFULL_STATIC_BUILD=OFF but during compile it seemed to complain about it and put it back on. I suspect this is causing the mammoth 20mb exe's?