Unfortunately you are not doing anything wrong. 'Unfortunately' because other wise you would be able to fix it... and sadly you are not.
CustomCLRDialog was always an ad hoc solution for a case of a single msi setup and it is not guaranteed to work with Burn bundle. CustomCLRDialog has been superseded with the MSI/WiX native "EmbeddedUI" model and Wix# fully supports it. And in fact it is a Wix# recomentded UI customzation technique. But unfortunately because of the implementation limitations Burn doesn't support "EnbeddedUI". It seems to be temporary as WiX team asknowledged the problem and scheduled the fix for WiX v4: https://github.com/wixtoolset/issues/issues/4921/.
Saying that your report makes me think that CustomCLRDialog could be a temporary alternative for the Burn-EmbeddedUI so developers don't have to wait for the next WiX release.
I will have a look if CustomCLRDialog can be extended to work with the bootstrapper. I have created the corresponding issue on your behalf: https://wixsharp.codeplex.com/workitem/88
CustomCLRDialog was always an ad hoc solution for a case of a single msi setup and it is not guaranteed to work with Burn bundle. CustomCLRDialog has been superseded with the MSI/WiX native "EmbeddedUI" model and Wix# fully supports it. And in fact it is a Wix# recomentded UI customzation technique. But unfortunately because of the implementation limitations Burn doesn't support "EnbeddedUI". It seems to be temporary as WiX team asknowledged the problem and scheduled the fix for WiX v4: https://github.com/wixtoolset/issues/issues/4921/.
Saying that your report makes me think that CustomCLRDialog could be a temporary alternative for the Burn-EmbeddedUI so developers don't have to wait for the next WiX release.
I will have a look if CustomCLRDialog can be extended to work with the bootstrapper. I have created the corresponding issue on your behalf: https://wixsharp.codeplex.com/workitem/88