If Nexus is not starting with Windows after the last automatic upgrade, although that setting is enabled in Preferences, here is a quick solution: exit Nexus and restart it - the exit confirmation dialog with reset the setting in the Windows Registry.

The problem was caused by a bug in the Installer that reset the auto-start entry in the Windows Registry (the issue has been fixed already, but the problem might still exist for those who updated in the first 24 hours after release).