The stuff that Kazaa downloads to your system is required for it to run, so if you remove it all, when you next load up kazaa it will say "continue to rnu kazaa free" which will install it all again, or buy it, to have none of the stuff.
It does tell you the stuff they put on is safe. Otherwise, shareazza does the same thing without that crap downloaded to make it run
Just read the end of your post. If you go to START, RUN, and type MSCONFIG, and go along to the right it says startup. In that list all the things ordered to startup will be ticked. I'm sure if you find anything sonic related and disable it, it will not ask you.