That reg setting only effects plugins that look for it.
Many plugins will still default to C:\Program Files\VST or other locations because they're hard coded to.
NI plugins are installed to the locations set in Native Access preferences.
If a plugin or group of plugins has an installation manager chances are that manager will have a setting the defines where its plugins get stored - it may default to the registry setting, or other location for example C:\Program Files\Steinberg\VST.
With Sonar it's the CC preferences will set were most of it's plugins will be installed to regardless of the registry setting - though from what I recall there are a couple that still use the registry setting instead or end up someplace like C\Program Files\Cakewalk\Vstplugins.