The most straightforward way in handling 3rd-party packages is to use their redistributable installers for end-users (e.g., with Burn). Presumably they have dealt with all the issues required for their target platforms, will continue to do so in the future and may have even provided an update mechanism. That would be definitely true for many components from Microsoft, such as the .NET framework and VC runtimes.
Nuget is for developers. It downloads dependencies, adds them and possibly source code, configuration elements, etc to projects. So, it is not normally used to distribute libraries to end-users. If the library doesn't have its own installer for end-users, you can (if allowed by the license) include it in the setup for your product or in a separate setup as you suggest.
Underlying this, as always, is how your application will deal with different versions of libraries and how it will find them at run-time. That can be very simple but is a whole other topic in itself. You'll have to consider this in your installation design and build process.