Indeed.... the information of the custom sounds are stored in the registry together with the Messenger Plus! settings. If you clear the Messenger Plus! settings, this information is also gone....
If you don't want that to happen you must make a SoundPack out of all you custom sounds before you remove Plus! completely with all its settings
(which isn't needed at all to upgrade though, as Sunshine said)...
If the directory still exists where the custom sounds are physically stored, you can quickly restore these settings... For this take a look at:
Messenger Plus! Sound Library Fixer
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