The Shell Extensions Approved list is *not* a complete list of shell extensions on the system
I've noticed that a number of different programs just look at the Approved list of shell extensions [HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\Shell Extensions\Approved] and figure that all shell extensions will be in that list. It's not true, because lots of folks don't really care about that policy. I don't know how often it's used - it doesn't really make your system more secure as far as I can tell. (It may reduce the TCO related to folks installing poorly written shell extensions.)
It also doesn't apply to all shell extensions. There are many of them (probably some of them with HKCU extensibility) that haven't been moved to the policy system yet. (So you should always register your shell extensions there, even if it doesn't seem to be necessary.)
(That said, it certainly does give you quite a few of them for very little work. On my system, it finds about 325/400 - about 80%. Because of that, if you're thinking about turning on this policy consider the fact that you'll be disabling 1 in 5 shell extensions; will that generate more or less support calls?)