When an administrator or power user logs on for the first time, Windows Media Player shortcuts are created. When an ordinary user logs on, the shortcuts are NOT created.
When a user logs on for the first time, Unregmp2.exe tries to create the HKEY_LOCAL_MACHINE\Software\Microsoft\MediaPlayer key. If the key already exists, the process attempts to grant KEY_SET_VALUE and KEY_QUERY_VALUE access permissions. Since ordinary users do NOT have KEY_SET_VALUE access, the process receives an 'Access Denied' error and it terminates without creating the shortcut.
To workaround this feature, manually create the shortcuts for the user.