Regrettably, the .NET APIs as of this writing (preview version of .NET 8) also have this limitation - see:
Still, using the registry APIs directly offers a workaround.
(After a direct registry update, a WM_SETTINGCHANGE broadcast message must be posted to notify (at least) the Windows shell of the update).
Having proper support for REG_EXPAND_SZ env. vars. is important, especially given that neither the .NET APIs nor setx.exe (properly) provide it.