The bundled HeidiSQL installation is placed in C:\Program Files (x86)\Common Files\MariaDBShared\HeidiSQL and does not have a separate item in the Apps and Features list in Windows. Nor does the MariaDB item there have a Modify option, only uninstall.
When HeidiSQL detects that there is a new version, and that installer is launched, it doesn't detect the bundled installation and cannot upgrade it. As per this forum post, there is no way to upgrade the bundled installation of HeidiSQL. Instead you end up with a zombie installation in MariaDB's folder structure, and a new installation in the default (or chosen) location.
If MariaDB will continue to bundle HeidiSQL in spite of this issue, please bundle it in a way that allows it to be upgrade properly. Preferably, just install it as a proper separate package, as if it were installed separately.