I don't think that this is unfortunate. It's just that you haven't handled it.
You have to use Custom Actions for that:
1.Add a new library ("CustomActions") to the setup project
2.Add => New Item => Installer class
3.Switch to code view and override the Uninstall method
public override void Uninstall(IDictionary savedState)
{
base.Uninstall(savedState);
}
1.Add the project output (Primary Output) of the CustomActions project to the setup project.
2.Right click your setup project and click View => Custom Actions
3.Rigth click uninstall => Add Custom Action => Application Folder => Primary Output of CustomActions