Messenger Plus! uses a global hook system to work. This means that its DLL is loaded
by Windows in every process that creates a window. It has always done this and it will always do as this is fundamental to the way itworks. Many other software use the same technique btw. I never changes this system, the only thing Ididchange in the last version was to create a new separate DLL for thesystem hook so that people who monitor this kind of thing can see that Plus! itself (MsgPlusH) is never loaded anywhere else but in Messenger.
As for the outgoing connection made during uninstall, C2Media probably does it to record unisntallations (after all, that's an adware, they got to keep track of how many users have their stuff installed) and the latest versions of Plus! also make a connection to the statistic server if it is enabled in your options (it is by default). The stats just contain a couple of data that helps me improve the software, more information about that can be found on msgplus.net.
Hope it helps
Patchou