Thank you for the feedback. However, the solution did not work for me. After doing some extra research, I found this:
reg add "HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer\Advanced" /v StartShownOnUpgrade /t REG_DWORD /d 1 /f
After adding this to my unattend.xml file in the FirstLogonCommands section, the Start Menu did not open anymore. No need to add this to the Default User registry hive as this will be injected in the registry before the logon.