no idea about teh file type extensions… probably them are not registered on installer version (i manually associate the project file to Kndelive) …
BTW usually i use the installable because there are no added registry entry… if you are worried about files copied in unknown places, this is an totally remover of kdenlive for windows : www.wcn.it/kdenliveremover.zip
here an updated topic:
usually installed software are granted of administrative rights… this mean.. saving and reading where you want (not on system areas or root) and maybe Kdenlive can be suggested by windows on the “OPEN BY” menu speeding up associations.