Creating registry key with wix installer

I am new to wix but I have to use it for a project. I need to disable the ability of the user to change his password. To do this I want to add/change a registry entry but this does not work:

<DirectoryRef Id="TARGETDIR">
    <Component Id="RegistryEntries" Guid="12345678-1234-1234-1234-444444444444">
        <RegistryKey Root="HKCU"
                     Key="Software\Microsoft\Windows\CurrentVersion\Policies\System"> 
            <RegistryValue Type="integer" Name="DisablePW" Value="1" KeyPath="yes"/>
            <RegistryValue Type="string" Value="Default Value"/>
        </RegistryKey>
    </Component>
</DirectoryRef>

Under Policies there is no System key yet so I assumed this would create one.