I can't reproduce this. I setup a welcome conversation with 2 users listed as participants and both were indeed included in the conversation when a user registered.
I tried both the standard "leave and accept future messages" and "do not leave" options. These both worked as expected (for the former, the conversation only appears in the inbox of the newly registered user; for the latter, it appeared in all 3 users' inboxes but it was only unread for the new user).
If you register a new user, are the participants all listed as expected?