Well, that's weird, because there's nothing that should be setting w32-pass-lwindow-to-system to nil.
But, at least, if the behavior you see is caused by that variable being set to nil, it sort of makes more sense (the problem is that something sets the variable, and not that it is not being obeyed).
If you do
emacs -Q --eval "(setq w32-pass-lwindow-to-system t)"
does Emacs stop intercepting the LWin key?