I used zabbix_agent-5.0.19-windows-i386-openssl.msi
It appeared to be that zabbix agent MSI package requires to have "Microsoft .NET Framework 4" installed on your windows box.
Official MS link to download https://www.microsoft.com/en-US/download/details.aspx?id=17718
If it's missing, GUI wizard fails at the end with an unknown error, see picture attached.
If run installation from command line, it will complain this way:
MSI (s) (C4:EC) [15:40:29:886]: Executing op: CustomActionSchedule(Action=AgentService_Register,ActionType=3073,Source=BinaryData,Target=QuietExecAndMsgOut,CustomActionData="C:\Program Files\Zabbix Agent\zabbix_agentd.exe" --config "C:\Program Files\Zabbix Agent\zabbix_agentd.conf" --install)
MSI (s) (C4:E4) [15:40:29:886]: Invoking remote custom action. DLL: C:\WINDOWS\Installer\MSI2F7.tmp, Entrypoint: QuietExecAndMsgOut
SFXCA: Extracting custom action to temporary directory: C:\WINDOWS\Installer\MSI2F7.tmp-\
SFXCA: Failed to get requested CLR info. Error code 0x80131700
SFXCA: Ensure that the proper version of the .NET Framework is installed, or that there is a matching supportedRuntime element in CustomAction.config. If you are binding to .NET 4 or greater add useLegacyV2RuntimeActivationPolicy=true to the <startup> element.
Installing .NET Framework 4 resolves agent installation issue.
This requirement detail could be added to zabbix documentation