Hello,
It is not possible to create a single .msi package via SEPM.
However, you can create open package which includes the .msi setup.
Creating a managed .MSI package in Symantec Endpoint Protection 12.1
http://www.symantec.com/docs/TECH165483
and In case of SEP 11.x, check this Article:
How do I create a non .exe OR a .msi Install Package for Installing Symantec Endpoint Protection.
http://www.symantec.com/docs/TECH96388
Hope that helps!!