Yes, AFAIK UEM can only set HKCU settings, if you create the regkey it will only select that.
Regarding the logontime, we have been struggling very hard to get this down for our students which have stateless desktops.
We found out that you should remove as much modern apps as possible (check using get-appxprovisonedpackage -online) and using UEM you could also collect the activesetup information. We found out that logon times are about 5 seconds less with only adding the following lines. This zip file is only about 1KB large so it won't cost you a large amount of storage.
[IncludeRegistryTrees]
HKCU\Software\Microsoft\Active Setup\Installed Components
HKCU\Software\Wow6432Node\Microsoft\Active Setup\Installed Components