https://bugs.winehq.org/show_bug.cgi?id=42297
--- Comment #5 from Bruno Jesus 00cpxxx@gmail.com --- They are stored in a folder inside your home folder, at least for me in Debian:
bruno@Note:~$ ls ~/.cache/wine wine_gecko-1.8-x86.msi wine_gecko-2.40-x86.msi wine-mono-4.5.6.msi wine_gecko-2.21-x86.msi wine_gecko-2.47-x86.msi wine-mono-4.6.3.msi wine_gecko-2.24-x86.msi wine-mono-0.0.8.msi wine-mono-4.6.4.msi wine_gecko-2.34-x86.msi wine-mono-4.5.2.msi wine_gecko-2.36-x86.msi wine-mono-4.5.4.msi
Then when a new prefix is created wine checks if you already have the current gecko/mono version downloaded, if yes then it will auto install, if not it will prompt for download and store in this folder.
Did you check wine uninstaller?