Now, I might of did something wrong, but shouldn't the WPF controls get placed in the WPF components tab in the Choose Toolbox dialog, currently they do not. The SL components are there as I would expect but not WPF. I am using VS 2010.
The path to the WPF assemblies is missing in the reg key added by the setup. Here's a look at what is required (note, this is the registry on a 64-bit os - remove "Wow6432" from the path if on a 32-bit platform):