Not asking customers to manage a local python installation is one thing, although I totally understand how excel + python power users would likely be comfortable bringing and maintaining their own python runtime.
Anaconda distributions aren't exactly small. I'd also assume there's some sort of environment isolation, so you're getting multiple copies. Maybe one per workbook?
The embeddable package from python.org [1] is 20 MB unpacked. To install different sets of packages per workbook, just have Excel automatically set the module path as appropriate.
There are a lot, I mean a lot apps that support scripting languages and don't need you to manage the language's runtime yourself. Blender's UI is entirely in Python. Civilization games have most game logic in Lua.