I'm not sure if this is a bug with WiXUI or with the Windows Installer itself.
When I install a product on Windows Vista which I have digitally signed, after I click install I get the UAC prompt for elevation as expected. The install button has the UAC shield icon on it & the UAC prompt displays the digital signature information. This works fine using WiXUI_InstallDirDlg & WiXUI_Mondo (haven't checked any others but one would assume they works fine as they all share the VerifyReadyDlg) & it also works fine when running an install using minmal UI (msiexec /i <msi> /qb).</msi>
However when I uninstall the same product, whether I simply click the Uninstall button in the "Programs & Features" Control Panel (and thus run in minimal UI) or run the MSI by double clicking it & then select Remove on the MaintenanceTypeDlg,the Remove button on the VerifyReadyDlg in Full UI does not display the UAC shield icon & I get a generic unsigned UAC prompt for elevation.
I am using the v3.0.4617.0 build of the WiX toolset however this has been the case for many months, at least since I migrated to WiX 3.0 back in May.
Those are MSI issues: http://blogs.msdn.com/windows_installer_team/archive/2007/06/07/update-on-kb-articles-requested-for-windows-installer-4-0-on-windows-vista.aspx.