The following may go wrong:
Folder permissions to write to
Looking at the permissions of the folder C:\ProgramData\Microsoft\Windows\WER , it has
- Read and execute
- List Folder Contents
- Read
Creating a subfolder of LocalDumps inherits permissions.
Therefore, you must either change the permissions of this folder or use another folder with write permissions.
Registry Key Permissions
Windows may not be able to read the registry settings if permissions do not allow this. For instance. The following (really stupid) permissions will prevent the use of LocalDump:

32 vs 64 bit
Windows error reports are run by Windows and use only a registry key with a broken OS. You said you created both. If true, everything is in order. If you configured only a 32-bit registry key, this will not work.
Aedebug
If you have a setting for AeDebug HKEY_LOCAL_MACHINE\SOFTWARE\Wow6432Node\Microsoft\Windows NT\CurrentVersion\AeDebug , they run before WER.
Please note that this entry may exist in 32-bit (WOW6432Node) and 64-bit.
Usually this should lead to the launch of the debugger, but who knows ... he can do nothing and just exit.
LocalDumps is disabled
Make sure there is no DWORD Disabled with a value of 1 in HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\Windows Error Reporting\LocalDumps
Using REG_SZ instead of REG_EXPAND_SZ
I saw people using REG_SZ for DumpFolder in combination with %APPDATA% . Only REG_EXPAND_SZ will expand environment variables.
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