Part of this is off-topic - my apologies, but since the question was asked...
I've played around with the Windows Mobile security policy settings - that's how I reached the conclusion that it isn't a security problem but something the application is seeking that wasn't installed and isn't in my stock ROM.
For reference, a good write-up of the WM6 security model and policies can be found here:
http://msdn.microsoft.com/en-us/library/aa455966.aspx
Each security policy ID (given as a decimal value) corresponds to a key under HKLM\Security\Policies\Policies (intentional duplication of the word Policies). The key itself is a 32b hex (so for example security policy ID 4102 (Unsigned Applications Poilcy) corresponds to key 00001006. The value of the key is typically an enable/disable (0 or 1), possibly a range of values (0, 1, 2) or a bitmask corresponding to approved roles. The roles can be found in the same write-up.
If I set policy 4102 to 0 (prevent unsigned applications from running) then the QuickGPS application won't even start. Nor will Total Commander or several others. Setting it to 1 allows QuickGPS to give me the component missing error.
As with any RegEdit - you can get yourself into trouble. Playing with security policies can break applications or worse, lock you out of your device even though it is booting fine. Make sure you can active sync, and I recommend an off-line registry editor such as CERegEdit. Whatever you do don't set policy 4133 to 0 - as long as this is 1, you shoudl be able to undo a security policy mistake from your remote registry editor.