I build a perMachine installer using WiX 3.6 to install a software I had not developed. Unfortunately the software creates some registry keys under HKCU during execution.
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The Windows Installer considers this user data and best practice is to not remove it. Either way, it's very difficult to try to remove it anyways since other user profiles are out of scope / context. It's theoretically possible to write a custom action to enumerate profiles and load registry hives but on some versions of Windows ( Vista ) that won't work due to restricted permissions granted to the windows installer service.
If you really, really must be able to remove custom action data on uninstall then take a look at:
Active Setup Explained
You are going to need to leave behind an program (exe for example ) by marking a component as permanent. Then you'll need a custom action to write a registry value during the uninstall (because Windows Installer doesn't support this).
The concept is during the install you lay down an EXE and during the uninstall you leave you. You then write to the ActiveSetup registry key telling it to run your EXE once for each subsequent user to logon to the machine. The EXE then deletes your registry values. Reboot (politely) if needed to unload the extensions from explorer.
But honestly, a better designed application wouldn't need all of this.