Knowing the entry point in native Windows CE DLL and providing it with CAB file is it possible to run the function at some point of installation? Is it possible to put such 'wish' to _setup.xml or not?
It can be done, though it's not as straightforward as you're probbly wishing.
You can create a custom setup DLL and include that in your installer. The installer will call entry points (e.g. Install_Exit) in that DLL during install. You could then put a LoadLibrary \ GetProcAddress \ method call into that method.