This is against Microsoft design guidelines. Add/Remove programs calls the uninstall with a silent UI argument and the UI sequence is never processed.
The only place you can author UI during an uninstall is a "change" or "maintenance" UI experience where they select Repair | Change | Remove and on Remove do your UI. But you'd have to lock down the Remove buttom and force them through this path. Also realize they could call msiexec /x /qb from the command line.
Bottom line is Microsoft made this choice to make the uninstall process simple and easy for the user. As for removing the registry key, Microsoft would say that you should leave user data on uninstall.