Apparently the issue is that it creates the entry for the profile that installs the application and the default user profile. if your profile did not existed on the computer you will get the configuration but if you already had a windows profile it will not... since i had to elevate the right to an alternate account that account got the settings but not the current logged on user.
Were you an admin when you installed or did you have to elevate rights?
Edit. New profiles do not get the setting either....
it creates the entry at HKEY_USERS\.DEFAULT\Software\VMware, Inc.\VMware VDM\Client\ConnectionServerName with the correct value but does not use it..