Just reinstalled the gem on my machine and the .exe is there. Can you try to reinstall both the NServiceBus and the nu gems and see of it does it for you?
$ gem install nu
Successfully installed nu-0.2.4
1 gem installed
Installing ri documentation for nu-0.2.4...
Updating class cache with 1483 classes...
Installing RDoc documentation for nu-0.2.4...
andreas.ohlund@WIN2008R2 ~/dev/lab/nuu
$ nu install nservicebus
Loading dependency: log4net = 1.2.10.0
Installed package nservicebus.
andreas.ohlund@WIN2008R2 ~/dev/lab/nuu
$ cd lib
andreas.ohlund@WIN2008R2 ~/dev/lab/nuu/lib
$ cd nservicebus/
andreas.ohlund@WIN2008R2 ~/dev/lab/nuu/lib/nservicebus
$ ls
NServiceBus.Core.dll NServiceBus.Host.exe NServiceBus.Testing.dll NServiceBus.dll nu_spec.yaml
NServiceBus.Core.xml NServiceBus.Host.xml NServiceBus.Testing.xml NServiceBus.xml