For some reason, it is not possible to define uninstall behavior for a folder using the Uninstall Cleanup Wizard for a merge module.
I can see, that others have had a similar problem, and a quite cumbersome "workaround" has been presented: viewtopic.php?t=27799
This is also a post from 2012, and the method described there does not seem to work anymore.
Would it be possible to add the Uninstall Cleanup Wizard to merge modules too?