Setting CurrentUser\Run in msi setup custom action fails with no message

I have a .Net 4 msi setup project that runs a VB program as a custom action. This program attempts to set a string value in the the registry key HKCU\Software\Microsoft\Windows\CurrentVersion\Run. I get no error yet the key value is not set. I have attached a code snippet. The code works when I test it from visual studio, but not when it is in the msi routine. I also elevated the priveleges. Same error. How do I get this to work?

Try
            regStartPgmKey = Registry.CurrentUser.OpenSubKey("Software\Microsoft\Windows\CurrentVersion\Run", True)
            If regStartPgmKey Is Nothing Then
                MessageBox.Show("Error accessing Startup program registry key." & vbCrLf & "Process will continue", _
                    "BDS Intstall/Uninstall error", _
                    MessageBoxButtons.OK, _
                    MessageBoxIcon.Error)
            End If
            regStartPgmKey.SetValue(PgmName, Path.Combine(TargetDir, PgmName))
            regStartPgmKey.Close()
            MessageBox.Show("After Set " & PgmName)
        Catch ex As Exception
            MessageBox.Show("Error accessing Startup program registry key:" & ex.Message & vbCrLf & "Process will continue", _
                "BDS Intstall/Uninstall error", _
                MessageBoxButtons.OK, _
                MessageBoxIcon.Error)
        End Try

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