The support service helped me get the traffic dump to work. The problem was the string value should be 1 and not DumpNetworkTraffic = (REG_SZ)"1". See the links below for the videos, dump, and traces.
KES off video: https://disk.yandex.ru/i/HWxd2_LKwQ-QNw
KES on video: https://disk.yandex.ru/i/OCvsrEsSV1momw
traces: https://disk.yandex.ru/d/zgD7hwYc-SeD5Q
traffic dump: https://disk.yandex.ru/d/2SCxd22MsyoTbg