Doing this on XP, you can also get the RegMon output, and that lists SetValue:
ProcMon:
"Sequence","Time of Day","Process Name","PID","Operation","Path","Result","Detail","Event Class"
"8456","20:15:47,6493609","regedit.exe","420","RegQueryValue","HKCU\Software\test\New Value #1","NAME NOT FOUND","Length: 144","Registry"
"8559","20:15:51,2066619","regedit.exe","420","RegQueryValue","HKCU\Software\test\foo","NAME NOT FOUND","Length: 144","Registry"
"8560","20:15:51,2066761","regedit.exe","420","RegQueryValue","HKCU\Software\test\New Value #1","SUCCESS","Type: REG_BINARY, Length: 0","Registry"
"8561","20:15:51,2066864","regedit.exe","420","RegQueryValue","HKCU\Software\test\New Value #1","SUCCESS","Type: REG_BINARY, Length: 0","Registry"
"8562","20:15:51,2075572","regedit.exe","420","RegDeleteValue","HKCU\Software\test\New Value #1","SUCCESS","","Registry"
"8618","20:15:52,9198131","regedit.exe","420","RegCloseKey","HKCU\Software\test","SUCCESS","","Registry"
RegMon:
1 2.38380957 regedit.exe:420 QueryValue HKCU\Software\test\New Value #1 NOT FOUND
2 2.38436174 regedit.exe:420 SetValue HKCU\Software\test\New Value #1 SUCCESS
3 5.36779499 regedit.exe:420 QueryValue HKCU\Software\test\foo NOT FOUND
4 5.36780643 regedit.exe:420 QueryValue HKCU\Software\test\New Value #1 SUCCESS
5 5.36781597 regedit.exe:420 QueryValue HKCU\Software\test\New Value #1 SUCCESS
6 5.36884880 regedit.exe:420 SetValue HKCU\Software\test\foo SUCCESS
7 5.36890793 regedit.exe:420 DeleteValueKey HKCU\Software\test\New Value #1 SUCCESS
8 9.04430676 regedit.exe:420 CloseKey HKCU\Software\test SUCCESS
The regmon output looks like a rename operation to me (QV,QVx2,SV,DV) Maybe regmon uses hooking and procmon uses the documented registry monitor api (Or maybe a procmon bug?)
I tested both the latest and a older version on procmon; v1.37 (The older versions don't have a huge ETW delay when you toggle monitoring on/off on XP)