This usually happens when MMX has been installed for all users, i.e. as an admin. That will use HKLM for the Experts entry, which will be copied to HKCU when a user starts Delphi. As the installer didn't add these registry entries, it refuses to remove them when uninstalling (this is standard behavior of InnoSetup).
Actually, these kind of quirks are the reason why Install for me only is recommended. If you are the only user at the system it doesn't matter at all and if you are not, each user will have its own copy of MMX installed (they can even have different versions).
I always try to clean up as neatly as possible when uninstalling, but I didn't find a reliable way to do that without jumping through hoops with the registry and several user folders.