Just where do you get your information from?
Part of my job as an administrator in RDS environments is keeping an eye on exactly what is written into registry hives to keep them as small as possible for fast logons. Some applications (looking at you Samsung printer drivers) are very chatty and will write a lot of unnecessary garbage into user reg hives, so I just remove it again or exclude it from being saved in the first place if using something like Citrix profile manager.
The registry does not record all information about everything you do. I don't know which conspiracy theory site you read this on, but it simply is not true. If it were, then registry hives would be growing at an absurd rate with all this logging, yet somehow I am able to always keep user registry hives down to less than a couple of megabytes in size. If I see that a users NTUSER.DAT file has unexpectedly grown, I will analyse it to see which application is doing something stupid and fix it. It might save a recent file list for some applications, so that you can go back to what you were last working on, but that is hardly a key logger.
Every key and value that is written into the registry has a date/time stamp, in the same way that files have a date/time stamp. So yes, when you install or use an application, it will record the date and time for any values that are written for that application, in exactly the same way that config files will get their date/time stamps updated when you install or use an application that uses config files. It is just more granular as you can see when a specific value was changed, rather than just knowing when the whole file was changed.
If you are that paranoid about what is being saved in the registry, you can always export it to a text file. That way you can look through every value that is in there along with their date/time stamps. There are also some excellent utilities such as REGSHOT and Sysinternals PROCMON and RU for analysing what has been written into registry hives.
Alternatively set up mandatory profiles for your users. These are preconfigured profiles that are read only. All changes are discarded at log off. That way you can be sure nothing is being saved. They are a pain in the arse to manage though.