The "just for me" option isn't actually a per-user install, it actually just restricts use of the core Python DLL to Python itself and not any other applications that may want to use it (by putting the DLL in the Python folder instead of the system folder). Basically everything else about this option is a bug that I consider it of scope for 2.7 at this point. If someone else figures out how to fix it, I can try and review the patch, but I'm not intending to figure out the install script well enough to fix it.

For what it's worth, the Python 3.5 installer will have a true per-user option (no admin privileges, no shared files with other users, per-user environment and file associations, etc.)