Hi,
After selecting the parts you want to install, actually the installer downloads them first and install them one by one. In this way, it is more efficient as you can download parts while downloaded ones are being installed.
If you don't have a fast internet connection, you can also find most Microsoft released parts on iis.net/downloads. For big things, such as SQL Server Express, I think you can download and install them separately. There is no one who forces you to install them via Web Platform Installer only.
As more and more people start to have broadband access to Internet, I think the way Web Platform Installer does is really nice.