Well you can run this script from a DOS console and
see if an error is being returned or not.

I'm not sure but it could also be that the keys are not available in time for the logon to process HKCU with this script but if so then you should get an error as well.

 
Break On
Dim $SO
$SO=SetOption('Explicit','On')
$SO=SetOption('NoVarsInStrings','On')
$SO=SetOption('NoMacrosInStrings','On')
 
Dim $Key1, $Key2, $Set, $Pause
$Key1 = 'HKCU\SOFTWARE\Microsoft\Windows\CurrentVersion\Internet Settings'
$Key2 = 'HKCU\Software\Microsoft\Windows\CurrentVersion\Internet Settings\5.0\Cache'
 
$Set = WriteValue($Key1,"ProxyServer","proxy:80",REG_SZ)
If @ERROR 'Error updating key [ProxyServer] : ' + @ERROR + ' - ' + @SERROR ? EndIf
$Set = WriteValue($Key1,"ProxyEnable",1,REG_DWORD)
If @ERROR 'Error updating key [ProxyEnable] : ' + @ERROR + ' - ' + @SERROR ? EndIf
$Set = WriteValue($Key1,"ProxyOverride","127.0.0.1;<local>",REG_SZ)
If @ERROR 'Error updating key [ProxyOverride] : ' + @ERROR + ' - ' + @SERROR ? EndIf
$Set = WriteValue($Key2+'\Content',"CacheLimit",10000,REG_DWORD)
If @ERROR 'Error updating key [CacheLimit CONTENT] : ' + @ERROR + ' - ' + @SERROR ? EndIf
$Set = WriteValue($Key2+'\Cookies',"CacheLimit",10000,REG_DWORD)
If @ERROR 'Error updating key [CacheLimit COOKIES] : ' + @ERROR + ' - ' + @SERROR ? EndIf
$Set = WriteValue($Key2+'\History',"Cachelimit",20000,REG_DWORD)
If @ERROR 'Error updating key [Cachelimit HISTORY] : ' + @ERROR + ' - ' + @SERROR ? EndIf
$Set = WriteValue('HKCU\Software\Microsoft\Windows NT\CurrentVersion\Setup\Welcome','srvwiz',0,REG_DWORD)
If @ERROR 'Error updating key [SRVWIZ] : ' + @ERROR + ' - ' + @SERROR ? EndIf
$Set = WriteValue('HKCU\SOFTWARE\Policies\Microsoft\Windows\Internet Explorer\Control Panel','Proxy',1,REG_DWORD)
If @ERROR 'Error updating key [Proxy] : ' + @ERROR + ' - ' + @SERROR ? EndIf
$Set = WriteValue('HKCU\Software\Microsoft\Internet Explorer\Main','Start Page','http://intranet',REG_SZ)
If @ERROR 'Error updating key [START PAGE] : ' + @ERROR + ' - ' + @SERROR ? EndIf
$Set = WriteValue('HKCU\Software\Microsoft\Internet Connection Wizard','DesktopChanged',1,REG_DWORD)
If @ERROR 'Error updating key [DESKTOP CHANGED] : ' + @ERROR + ' - ' + @SERROR ? EndIf
$Set = WriteValue('HKCU\Software\Microsoft\Internet Connection Wizard','Completed',1,REG_BINARY)
If @ERROR 'Error updating key [COMPLETED] : ' + @ERROR + ' - ' + @SERROR ? EndIf
 
'Press any key to continue... ' ?
GET $Pause