App-V: SharePoint proxy shuts down immediately.

Most common cause is MACHINE\Software\Microsoft\Office\14.0 is not set to Merge with local.

I know what you are saying "oh but I made sure it was before I saved my sequence.

Yeah, check it again, and once you do, BE CAREFUL, make a backup and modify the setting because it likes to each your sequence.

As always make certain you make your changes on a sequencer as close to the original as possible (i.e. 4.6 RTM, not SP1) to increase your odds of success.