In which case use something like SQLlite in your app directly. No need to force the user to install a full blown DB management software on their system if all you want is an app-local DB.
There are limitations with both SQLite and SQL Compact that may require something more capable like SQL Express. For instance, what if the app involves reporting and data analysis? Most tools support attaching to SQL Express, but not in-process databases. It seems that there are a lot of real-world business scenarios you're not thinking of.