We have a python script ( using py2exe ) that modifies System Environment Variables and recently noticed that on our Slaves calling SET in Jenkins vs SET in a shell on the slave shows different results.  The only way we have found to make the JENKINS System Env Variables to change is to physically re-start that machine.

The 2 images show how Jenkins and the system disagree on what this var ( V_PROJECT_WORKSPACE_DIR ) is set to.

jenkins_rdp_view.jpg : The remote view of a NEW command window

jenkins_console_output_view.jpg : A script running on that slave that show what it sees.

EDIT:
After thinking on this more, and talking with some Programmers the theory is that Jenkins is in a VM and thus snap-shots the system then passes those variables down. we use setx KEY VALUE, and that sets registry, but doesn't change the local environment. Maybe this should be a feature, but a way to 're-snap' the System's Environment variables if prompted to.