Either we need to fix that doc, or we need to add a controllet for wine itself, so the list is never empty, or we need to make control.exe put up a dialog box saying "no control panel thingies installed".
Well, I think the plan is for Wine 0.9 to ship with pre-installed control panel applets, so that bug won't appear, but you're right, it's a silly bug if that's what it is and it should be fixed.