I have a few comments.
Well-known security identifiers in Windows operating systems
The KB doesn't mention S-1-5-21-SID. It refers to the user currently logged on and is incorporated into HKCR. If you use secondary logon, there will be another set of S-1-5-21-SID and S-1-5-21-SID_classes keys.
SIDs are different among different users and between installations.
.DEFAULT contains the per-user settings that Win XP uses to display the desktop before any user logs on to the computer. This isn't the same thing as a default user profile...
from Jerry Honeycutt, Microsoft Windows XP Registry Guide, MS Press: strongly recommended reading for those interested in the registry.
This means the HKEY_USERS\.DEFAULT hive in system32\config\default is not necessarily identical to the NTUSER.DAT hive in the Default User profile. Load the latter and compare it with the former.
If you want changes which only affect your own account and not all accounts, then you must only import the reg when you're logged on. I can't see any other easy way to do it.
Does anyone know:
When are the Default User, Default and other hives created during Setup? And from which files in i386?
There's only a SETUPREG.HIV in i386 and this contains the CurrentControlSet001 which will be formed under HKLM\SYSTEM eventually.