Inno Setup: Unable to unload and delete a DLL required by install from the {tmp} folder at end of install

Question

In my Inno Setup code, I need some dlls during the setup install only.

These dlls are extracted in the user temporary folder {tmp} by the external declarations (using the files: keyword).

As these DLL files are loaded when the setup terminates. The removing of the temporary folder fails at the end of the setup and the log file contains the following error message:

Failed to remove temporary directory: C:\Users\<UserName>\AppData\Local\Temp\is-XXXX.tmp

So I tried to unload and delete these dlls with UnloadDll() at the end of the setup. (From the DeinitializeSetup() procedure)

Unfortunately the dll file deletion fails, so I think the UnloadDll() calls didn't work for a mysterious reason. I get the following log:

2018-03-23 10:42:50.583   Deinitializing Setup.
2018-03-23 10:42:50.584   Unable to delete C:\Users\<UserName>\AppData\Local\Temp\is-XXXX.tmp\SetupUtilities.dll
2018-03-23 10:42:52.619   Failed to remove temporary directory: C:\Users\<UserName>\AppData\Local\Temp\is-XXXX.tmp
2018-03-23 10:42:52.624   Log closed.

What am I doing wrong ?

[Files]
Source: "Libraries\unzipper.dll"; Flags: dontcopy;
Source: "Utilities\bin\Release\SetupUtilities.dll"; Flags: dontcopy;
Source: "Components\DirectX_Redist_SciChart_19Feb15.zip"; DestDir: {tmp}; Flags: ignoreversion; AfterInstall: InstallDirectX

[code]
procedure unzip(src, target: AnsiString);
    external 'unzip@files:unzipper.dll stdcall delayload';  

function IsDirectX10Installed_(): boolean;
    external 'IsDirectX10Installed@files:SetupUtilities.dll stdcall delayload';

function HasDirectX10CapableGpu_(): boolean;
    external 'HasDirectX10CapableGpu@files:SetupUtilities.dll stdcall delayload';

function IsDirectXDependenciesInstalled_(): boolean;
    external 'CheckDirectXDependencies@files:SetupUtilities.dll stdcall delayload';

function IsDirectXDependenciesInstalled(): Boolean;
begin
Result :=False;
  Result:= IsDirectXDependenciesInstalled_();
end;

function HasDirectX10CapableGpu(): Boolean;
begin
Result :=False;
  Result:= HasDirectX10CapableGpu_();
end;  

procedure InstallDirectX();
var
  ResultCodeDirectXInstallation: Integer;
begin
  if not HasDirectX10CapableGpu then
  begin
    MsgBox('Your GPU is not compatible with the DirectX10 runtime.3D statistics will not be avalaible.', mbError, MB_OK);
  end else
  begin
    if IsDirectXDependenciesInstalled then
    begin
      Log('DirectX is already installed');
    end else
    begin
      unzip(ExpandConstant('{tmp}\DirectX_Redist_SciChart_19Feb15.zip'), ExpandConstant('{tmp}'));
      ResultCodeDirectXInstallation := RunInstallation('Installing DirectX ...', '{tmp}\DXSETUP.exe', '/silent', False);
      if not ResultCodeDirectXInstallation = 0 then
      begin
        MsgBox('An error occured during the DirectX installation.', mbError, MB_OK);
      end;
    end;
  end;
end;

// Called when setup is terminated.
procedure DeinitializeSetup();
var UnzipperDllFileName, SetupUtilitiesDllFileName: string;
begin
  UnzipperDllFileName := ExpandConstant('{tmp}\unzipper.dll')
  SetupUtilitiesDllFileName := ExpandConstant('{tmp}\SetupUtilities.dll')

  // Unload the DLLs
  UnloadDLL(UnzipperDllFileName);
  UnloadDLL(SetupUtilitiesDllFileName);

  // Now we can delete the DLLs
  if not DeleteFile(UnzipperDllFileName) then
  begin
    Log('Unable to delete ' + UnzipperDllFileName);
  end;
  if not DeleteFile(SetupUtilitiesDllFileName) then
  begin
    Log('Unable to delete ' + SetupUtilitiesDllFileName);
  end;
end;