I'm more surprised by the fact that it's nearly 200KB for a Hello World in a non-GC native language.

Rust bundles its standard library, instead of having it in MSVCx.DLL. The println macro pulls in a lot of fancy formatting machinery. It also panics when stdout is closed, which pulls in panicking, debug print, and unwinding.

This is a one-time cost per executable. Projects for embedded systems typically disable these features to avoid the costs.

I created more complex programs with a much smaller size (without special optimizations) - up to date windows though

For embedded work, you can take steps to make your Rust binaries much smaller. I know people who do demoscene in Rust. You can take that Hello World down to triple-digit bytes if such a thing matters for your use case.

A useful reference: https://github.com/johnthagen/min-sized-rust