This may have something to do with how a Remoting session is spun up. You’re not actually logging on interactively; you’re sending commands to a service. If the service doesn’t have a full environment (and it doesn’t), then there may be problems changing this. I think the preferred way to make the environment variable change is GPO, right now – see http://technet.microsoft.com/en-us/library/cc772047.aspx for an example.
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