As @Trampster pointed out, heat.exe does not do a good job of harvesting registry entries from COM servers. I tried but the results were incomplete.
Instead, following the advice at Monitor Registry Accesses (InstallSite Tools: Monitoring), I used InstallShield RegSpyUI. This supposedly ships with versions of Installshield v7 and beyond, including the evaluation version. This information may be out of date; I can confirm that it is not supplied with the pretty-much useless Installshield LE that comes with VS2013.
Luckily I did have a copy of InstallShield 2010 and this did come with RegSpyUI.
Anyway, RegSpyUI was a breeze to use: point it at the COM .exe, extract the registry info to a .reg file. Then use heat to harvest this into a .wxs file you can add to your Wix project
heat reg <some.reg> -gg -o <some.wxs>
Then it's just a matter of modifying any hard coded paths that point to the COM .exe's location so they reflect the intended installation folder.
e.g. if the .wxs file created by RegSpyUI+heat has something like this
<Fragment>
<DirectoryRef Id="TARGETDIR">
<Component Id="blah" Guid="{xxxxxxxxxxxxxxxxxxxxxxxxx}" KeyPath="yes">
<RegistryKey Key="TypeLib\{xxxxxxxxxxxxxxxxxxxxxx}\4.1\0\win32" Root="HKCR">
<RegistryValue Value="C:\Users\you\projects\MyProject\dependencies\installation\COMFOO.exe" Type="string" />
</RegistryKey>
</Component>
</DirectoryRef>
</Fragment>
and you are installing in your main wix file to
<Directory Id="TARGETDIR" Name="SourceDir">
<Directory Id="ProgramFilesFolder" Name="PFiles">
<Directory Id="COMPANY" Name="My Company">
<!--This is the actual installation folder-->
<Directory Name="MyProduct" Id="MYPRODUCT">
then simply edit the RegistryValue@value path to ..."[MYPRODUCT]\COMFOO.exe"