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the 7z or zip versions have always been portable. the settings may not save as i think they're saved in the folders of the computer so each system would reset. you could put a request forward (following the reporting procedure) so it is totally portable including settings if you like.
No they are not because by default the settings are saved into %appdata%\VLC folder.
You may define a custom path for VLCRC but vlc-qt-interface.ini and ml.xspf will remain in %appdata%\VLC folder.
Unrelated, but VLC should really display a version number when you click on Setup.exe or in the Setup.exe properties... Who wants to find out the hard way which Setup.exe they have?