The users that are installing the software need read/execute from the share they are pulling the software. Can you post the CCMEXEC and EXECMGR logs from a client where it has failed?
If you want it to run silently launch it from batch file with the following command "regedit /s \\filepath\filename.reg". You can also probably just enter the above command when creating the "program" but I have not tried that.
If you just create a .reg file and launch it via an advertisement the user will be promoted for the registry change.
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