This happens because of the way the upgrade process works:
- the old installation is removed (including the registry key)
- the new MSI is installed
There are two solutions for this:
1) Set the "Permanent" attribute for the registry component (in this case the registry key will not be uninstalled)
2) Set the "Do not register this component with Windows Installer" option for the registry component (this component will not be managed by Windows Installer, therefore it will not be removed).
You can read more about the attributes of the components here:
http://www.advancedinstaller.com/user-g ... rties.html