A think there's a (minor) bug in XP SP3 installer. If you unpack it and open the "UPDATE\update.inf" file you can find these lines:
[Save.Reg.For.Uninstall]
HKLM,%SMIEAO%\%SECURITY%\CACHE_FLUSH,"RegPoliciesPath",,"%SPMWCV%\%SET%\%CACHE%"
[IE.AdditionalSettings.AddReg]
HKLM,%SMIEAO%\%SECURITY%\CACHE_FLUSH,"RegPoliciesPath",,"%SPMWCV%\%SET%\%CACHE%"
but if you look for the "%CACHE%" variable under [strings] you will see:
[Strings]
CACHE="Cache
As you can see the second ' " ' is missing so the variable will probably not be processed correctly 
I can't check it myself as I don't have access to any XP SP2 or lower at the moment (in order to install SP3 and check it).
The correct line in the registry should be:
HKLM,SOFTWARE\Microsoft\Internet Explorer\AdvancedOptions\CRYPTO\CACHE_FLUSH,"RegPoliciesPath",,"SOFTWARE\Policies\Microsoft\Windows\CurrentVersion\Internet Settings\CACHE"
Could anyone check it? And check if you haven't got sth like this:
HKLM,SOFTWARE\Microsoft\Internet Explorer\AdvancedOptions\CRYPTO\CACHE_FLUSH,"RegPoliciesPath",,"SOFTWARE\Policies\Microsoft\Windows\CurrentVersion\Internet Settings\"CACHE"