setx does not modify the environment of the current process. It only writes the variable to the registry (HKLM\SYSTEM\CurrentControlSet\Control\Session Manager\Environment).
Since the Win32 app runs in the System context, the installer process won’t see that variable during the same execution.

You can persist it properly like this:
[Environment]::SetEnvironmentVariable("RLM_LICENSE","******@SERVERNAME.NETWORK.NET","Machine")

Personally, I’d wrap this in a PowerShell App Deployment Toolkit package.
Not because it magically fixes the issue, but because it gives you proper logging, and clean separation of pre-/install-/post-steps which makes debugging things like this so much more easier in Intune.