Once again please note that I'm also unsure if this issue might also possibly be related with T5593 issue, a part that I'm still in same working environment and so with 'gpg4win-3.1.16.exe' setup completed for 2nd time and left in place. Also main difference is that as per my own 'Sat, Sep 25, 10:57 PM' comment my %PATH% system environment variable has already been manually updated via OS UI simpler confirmation only after prepending '%ProgramFiles(x86)%\Gpg4win\bin;%ProgramFiles(x86)%\GnuPG\bin;' into registry Path (so I fully implemented my own suggestion... :-D ).
Anyway, before opening this as a new bug I also verified contents of '%ProgramFiles(x86)%\Gpg4win\share\doc\gpgex\gpgex-en.html' and after I noticed that in that 'Help for GnuPG Shell Extension (GpgEX)' file, in Debugging paragraph, current wording '...check the error log, or specify a debug file: Select the key HKLM\Software\GNU\GnuPG in the registry editor, create a new string value with the name GpgEX Debug File and the value of the debug filename (e.g. c:\temp\gpgex-debug-file.log). ...' is also implicitely assuming that 'HKLM\Software\GNU\GnuPG' registry key should already exist, which is not true on my PC (but as I already said I'm unsure if this might depend from my own current configuration status or not), then I quite extensively searched on this system in any previous reference was already existing about effective creation of above mentioned registry key and mainly found these references as related by mention: T3387, T668.

So, once again as I already said in T5621, I 'hope someone might also be able to confirm here if' HKLM\Software\GNU\GnuPG registry key 'will really already exist after 'gpg4win-3.1.16.exe' setup completes without errors.'

Please also note that, if so far same registry key is not really expected to exist nor even really intended to be created by setup once completed, then I propose as a possible quick & easy solution for next Gpg4win public build to only consider to simply change wording inside 'gpgex-en.html' as follows :
'... check the error log, or specify a debug file: if the keys HKLM\Software\GNU and HKLM\Software\GNU\GnuPG does not already exist in the registry editor, just create them, then select HKLM\Software\GNU\GnuPG and create a new string value with the name GpgEX Debug File and add there the value of the debug filename (e.g. c:\temp\gpgex-debug-file.log). ...'