@anttaz: Pretty much. There are several ways to process provxml files on HTC:
1) Use an app like this one, where you supply a file and it processes it.
2) Use an app like a registry editor, where a provxml string is constructed dynamically based on what you want to do, then processed.
3) Place a file called CustClear.provxml in the Windows directory (full path \Windows\CustClear.provxml) and then run Connection Setup and hit OK.
All three methods use the same basic approach: an HTC library called DMXMLCOM.dll, which is native code and interfaces with an HTC driver to get the required permissions. Interfacing with the driver requires ID_CAP_INTEROPSERVICES in the manifest, which makes it harder to use on Mango (though marketplace apps are exempt, so Connection Setup still works).
All three methods have the same permissions.
However, once the HTC Update that came out with Mango retail release is applied to the phone, Connection Setup will still work for its official purpose but will no longer process \Windows\CustClear.provxml (I'm not sure why). This means method 3 is no longer available. Since it's the only method that can be used on an interop-locked Mango phone, this makes it hard to interop-unlock an HTC phone (you need to place the file for method three in pre-Mango, then upgrade to Mango somehow without getting the HTC update, then use Connection Setup).