The note for the embeddable package should mention the required loader update. And should the CRT (3.5+) and loader updates (3.8+) also be noted for the nuget package?

I don't think it's necessary. I've never heard any complaints about the nuget package not having a CRT there already (and I have heard other complaints, so people know how to find me), and the KB requirement is for all of CPython and not something that we've ever tried to install automatically (unlike the CRT).

That said, I can't help but feel there's another doc page somewhere that should list the update. Or perhaps just the download page...

python-3.8.0.6662-amd64.zip

If anyone can help test on Win7 or Windows Server 2008 R2, here's a build of the installer. It should block right at the start, or else go to the usual "Install now/Advanced" screen. You won't be able to fully install it, as it doesn't have all the packages. If you do test, please attach the main log file from %TEMP% in the bpo issue.

python-3.8.0.6662.zip

Here's a 32-bit build

Here's a copy of an install log from a WIn7 SP1 (sans KB2533625) system that blocks.

Python 3.8.0dev6662 (32-bit)_20190330232436.log