Yes, if explorer.exe is not your shell the mentioned key (and other) are not executed.
If you need this function, Windows Embedded 7 has a package "Command Prompt Shell with Custom Shell Support".
Shell Launcher enables you to replace the Explorer shell with a custom shell. Shell Launcher enables you to concentrate on your custom shell application while Shell Launcher handles issues such as executing the Run and RunOnce registry keys and restarting the custom shell if it crashes
https://msdn.microsoft.com/en-us/library/ff794318(v=winembedded.60).aspx
In contrast we do not want to execute the runonce key with our custom shell. This is part of hardening the system against virus attacks.
So we dont use the mentioned package.