I figured it out.
Setup Windows and ConfigMgr task copied the CCM package down to C:\_SMSTaskSequence AND creates a file called c:\windows\setup\scripts\setupcomplete.cmd. This file is supposed to run
c:\windows\system32\osdsetuphook.exe /execute
setupcomplete.cmd is run automatically during windows setup just before the OS gets to the login window. The osdsetuphook.exe is whats needed to have the CCM client install in a windows session.
The image i'm using is a thick image with the Altiris DAgent installed. Altiris DAgent deleted the setupcomplete.cmd file every time the Altiris services startup on the computer. This is also near the beginning of windows setup, making the file not available when its supposed to be executed.
My work around has been to run osdsetuphook from the unattand.xml answer file in the OOBE pass. Its works fine now.