I think the problem is /etc/init.d/vmware-player is just getting marked as a config file and it shouldn't. Looking at other packages, it appears /etc/rc2*.d symlinks don't themselves get removed until purge.
** Changed in: vmware-player (Ubuntu)
Status: Unconfirmed => Confirmed
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apt-get remove vmware-player doesn't remove vmware-player service
https://launchpad.net/bugs/74065
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