That makes sense so what you describe is normal.
The values in HKEY_USERS do not come into play here at all.
Every user has their own section in the registry.
When a new user is created, the values in HKEY_USERS.DEFAULT are copied into the new registry section created for just that new user - then those values in HKEY_USERS.DEFAULT are not looked at again so it doesn't do any good to change things there - unless
you want to adjust or change the default settings for the next new user that might get created.
If your BIOS says Num Lock is on, that should be lit up when you power up the system... it may blink as the BIOS goes through the POST (Power on Self Test) then it will stay on... until Windows starts to load which hopefully won't take long.
When Windows loads the LEDs may blink again and when Windows finally settles down (but you have not logged in yet), the Num Lock will be OFF since that is the default settings for Windows. So will Caps Lock and Scroll Lock - they will all be off since that
is the Windows default settings.
When you login the Num Lock (and other LOCK keys) will assume the state it was in when you logged off last (or shutdown).
To test, when you are logged in look at something like the Caps Lock indicator. If it is off, turn on Caps Lock, then restart the system (with Caps Lock on).
When Windows loads, Caps Lock will be off (the default settings are all OFF), but when you login, the Caps Lock will be ON since it will assume the state it was in when you logged off, shutdown or restarted. If you don't want Caps Lock on, turn it off,
then restart and it will be OFF the next time you login.
Sometimes it gets confusing if you have only one user and Windows is set to login automatically, then you might not ever notice the state where all the indicators are off - or it will just be a blink because Windows won't stay there long since it is going
to log you in automatically.