You get the choice to install the components you want and not install the ones you don't want as the screenshot shows. You can click the button with the dropdown black arrow to the left of each component to show a menu. There you can choose "Entire feature will be unavailable". Then that module won't be installed.
If you have already installed all components of Classic Shell, you can still easily remove only the ones you don't want. To uninstall components selectively, run the installer of the Classic Shell version that you have installed and click "Change" button. Then you can selectively remove components.