http://bugs.winehq.org/show_bug.cgi?id=33207
--- Comment #5 from Hans Leidekker hans@meelstraat.net 2013-06-22 09:50:39 CDT --- (In reply to comment #4)
The Application Data folders (both local and roaming) are deleted during the execution of winetricks dotnet20sp2. They are deleted during action RemoveFiles, when the installer removes all empty temporary folders. Adding a placeholder file or folder inside Application Data and Local Settings\Application Data is sufficient to prevent these folders from being deleted.
This is definitely not a shell32 bug. It could be a msi bug, but I think that adding a placeholder is probably the correct fix here.
It could also be failure to recreate the application data folders. How does the app try to create its folder?