This idea was discussed a long time ago - and most folks (including myself) tended to agree that the fact that this is not possible makes using an NSIS installer a far more pleasant experience for the end user.
I don't think anyone has ever thought of a way to implement this which does not confuse most users. You'll know what I'm talking about if you ever saw someone who's very new to computing use a Wise installer - lots of folks I know have completely messed up start menus, mainly because they don't understand that concept. They decide to put your program into Accessories, and your main icon, the readme, the help file, & the uninstaller all end up in the same directory as Notepad, Calculator and Paint.
Dunno if the subject will be back up for debate again though...