The web control doesn't currently auto-uninstall, although if the participant uses Internet Explorer the version they download it put into a folder managed by Windows that will be automatically cleaned up if the user indicates through Windows that they want to reclaim disk space.
There may be some technical challenges programming a control that uninstalls itself (a program can't simultaneously run and delete itself at the same time). Note that we do have an uninstaller program available that we distribute to those who ask for it. We could possibly polish it up a bit and offer it as an option on the finish page.
Anyway, thanks for the feedback, I've added this issue to our list.