I'm facing similiar problem using HFSLIP.
If I set my custom theme in user-attended mode, my theme work at 1st logon.
I recently use WINNT.SIF to apply the same theme but is unsuccessfully. While the wallpaper is applied, the start menu etc is reverted to Classic theme.
My WINNT.SIF entries:
[Shell]
CustomDefaultThemeFile = "%WinDir%\Resources\Themes\Midnight Blue.theme"
I have patched Uxtheme.dll
Any clues?