Here's a sample of the code we use, we don't actually set the URL at compile time, but update properties in the MSI post-build so this might seem a little "over engineered". We use the WiXShellExec CA and have an additional condition so that the webpage is only displayed during uninstall, and not during a major upgrade.
<Fragment>
<Property Id="MyURL"><![CDATA[http://www.blah.blah.blah/]]></Property>
<CustomAction Id="SetOpenURL" Property="WixShellExecTarget" Value="[MyURL]" />
<CustomAction Id="OpenURL" BinaryKey="WixCA" DllEntry="WixShellExec" Impersonate="yes" Return="ignore" />
<InstallExecuteSequence>
<!-- Launch webpage during full uninstall, but not upgrade -->
<Custom Action="SetOpenURL" After="InstallFinalize"><![CDATA[REMOVE ~= "ALL" AND NOT UPGRADINGPRODUCTCODE]]></Custom>
<Custom Action="OpenURL" After="SetOpenURL"><![CDATA[REMOVE ~= "ALL" AND NOT UPGRADINGPRODUCTCODE]]></Custom>
</InstallExecuteSequence>
</Fragment>
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