This is not a bug and it works as Microsoft says:
http://support.microsoft.com/kb/142298
Notes from kb:
- Not all of the registry keys listed above may exist.
After you delete the values, restart your computer. Make sure not to delete the "(Default)" value.
- You do not have to restart the computer for the Find Files or Find Computer MRU lists to be cleared.
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If you click the Start button, click Shut Down, and then click No, the MRU list for the Run command is cleared.
By the way, after removing the "HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer\RunMRU" entry either by using CCleaner or editing the registry, I haven't found anything that would cause the list to clear up on my Win98 and WinXP without restarting or logging off or do as the last note suggested.
Thanks