This is Windows specific.
NSIS has come a long way since the current oorexx.nsi was written. In particular there is a 'Modern User Interface 2' that has features needed to provide an installer that integrates better with Vista.
The MUI 2 also makes writting custom installtion pages much easier.
In addition, there are a couple of installation scenarios that are not optimal. For instance, if the user chooses to not stop rxapi, and the installation directory is the same as the old installation, the new rxapi can not be installed. This can result in, say, all the 4.0.0 files being written to the install directory and leave the old 3.2.0 rxapi. Easy enough to fix by re-running the installation and stopping rxapi. But, that is something some users might not know to do.
The short of it is that oorexx.nsi needs to be rewritten, but it looks to be a relatively time consuming project.
I'm going to defer this to the next release, with the caveat that if the beta cycle brings out problems on Vista it might be necessary to do it for 4.0.0.