Sophos Safeguard 8.00 showing continuously notification Initial user synchronization completed on windows 10 PRO.

I would remove/delete the key from the server. This may not be the correct way to sort the issue but it has resolved my similar issue to yours when it complains either the key cannot be opened/modified. It should be recreated automatically.

We have done this but same issue is going on..?

Can I clarify you ARE logging in with the Sophos cog/credential provider and not the Windows one?

YES, we have logged on same, but same issue there.

Is this machine domained or workgroup?

Workgroup.

in that case, have you tried disabling the option found here?

https://support.microsoft.com/en-nz/help/4027599/windows-10-automatically-finish-setting-up-pc-after-update-restart

It can delay authentication being passed through.

This option is already on and we have all things up to date.

Sorry, I said try to disable that option, not enable.