See: ros2/ros2#516
I got in a situation some how where the registry keys that CMake needs were not setup and so I fixed it by uninstalling and reinstalling the chocolatey packages, but for tinyxml2 and eigen (but not asio) the uninstall failed, complaining about the keys not being found (I guess trying to remove them).
Not sure if this needs to be fixed, but opening for visibility. Feel free to close as wont fix, since you can just uninstall with -n and reinstall to workaround it.