Does the active set up registry entry get created under this path?: HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Active Setup\Installed Components\
If so, then Set-ActiveSetup is working correctly and the problem is with the way you are importing registry entries with regedit.exe. Active setup entries are only execute against a user account when they first log into their system. Therefore, active setup only has standard user rights. Please make sure that the registry setting you are importing are all HKEY_CURRENT_USER registry keys or the command will fail. Also, some companies restrict the ability of standard users being able to execute regedit.exe so your command would also fail in this scenario. That is why reg.exe is usually a better option for importing/creating registry keys.
Also, you can take a look at the Invoke-HKCURegistrySettingsForAllUsers function for another method of importing HKEY_CURRENT_USER settings for all users.
If so, then Set-ActiveSetup is working correctly and the problem is with the way you are importing registry entries with regedit.exe. Active setup entries are only execute against a user account when they first log into their system. Therefore, active setup only has standard user rights. Please make sure that the registry setting you are importing are all HKEY_CURRENT_USER registry keys or the command will fail. Also, some companies restrict the ability of standard users being able to execute regedit.exe so your command would also fail in this scenario. That is why reg.exe is usually a better option for importing/creating registry keys.
Also, you can take a look at the Invoke-HKCURegistrySettingsForAllUsers function for another method of importing HKEY_CURRENT_USER settings for all users.