It's not related to Qt or windeployqt and it's not about how the exe is made. Windows has a defined search order when it loads linked dynamic libraries. Other dlls, like plugins or resources, that load later on demand can be relocated via qtconf file.
In short - that's just how Windows organizes dlls.
You can fiddle with the local startup environment e.g. make a batch script that adds the dependencies subdirectory to PATH or changes working dir and you'd start your app by running it, but it's quite unusual and ugly.
I'd say just get used to having bunch of dlls next to your exe, even if it's not to your taste. That's what Windows apps do.