Problem:

What kind of magic has this 'MSIMG32.DLL'? Why can't inno setup delete it?

Edit: this file was just added to {app} using [File] section, at the end of uninstall I get the message "Some elements could not be removed. These can be removed manually." what is referred to MSIMG32.DLL exactly.

ANSWER:
It is perhaps likely that that DLL is in use by some running application. There is an addon for InnoSetup that deals with this situation. There is not enough information in the question from which other ideas may be produced.

There is a possibility that, on your system, that file either is, or has been infected by a virus, as suggested by ThreatExpert. You should exclude that possibility by running a system scan with your anti-virus program.