I don't see any reason why what you've done wouldn't work.
Of course, neither SetDebugConfiguration nor the registry values do anything in the retail XAudio2 DLL, so the first thing to do would be to sanity-check that you're really getting XAudioD2_0.dll loaded. VC's module list should tell you that, or the DLL load messages, or ProcExp (great tool - Google it).
If that's not the problem (and I'm sure it isn't), I'd guess that the debug spew is being produced but not displayed, for some reason. If you're willing to try the low-level debugger toolkit at http://www.microsoft.com/whdc/devtools/debugging, it will almost certainly work and may help you figure out the problem. (Just run your app under windbg.exe and watch the output.)
Dugan