But what do you want to do more?
1) Trust some company to keep a very important private key secure for a long time? (with attackers knowing it's a single high-value target)
2) Or be confident that the private key was used once and destroyed forever? Even if the private key generated on your device could be recovered it would only be good for an attack against you making it a lower priority to attackers.
Doing it that way completely undermines the reason for having a cert in the first place. You might as well not have one at all.
I'd still prefer the latter, given reasonable standards in terms of key handling, but the one-time trust is not completely without merit. It would certainly be more reasonable though to just allow one-time blind trust without forcing the installer to create a certificate that may or may not be as private as advertised.
If they had an actual root CA with a private key, they'd sign it locally (on the company machine). In no scenario would the company's private key be given to a customer (unless we're talking about Adobe).