Hello Tealstar,
First try deleting the entire WindowsSelfHost Key. It will be rebuilt on reboot.
HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\WindowsSelfHost
As for the registry entries, there are technically two different locations depending on how the settings are applied.
HKEY_LOCAL_MACHINE\SOFTWARE\Policies\Microsoft\Windows\DataCollection is the location the AllowTelemetry value is set if it is configured by policy (i.e., InTune, ConfigMgr, Group Policy, etc.)
HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\Policies\DataCollection is the location the AllowTelemetry value is set when you make a change via the UI
The first will have precedence over the second. If you have no entry in the first location (which consumer devices shouldn't), it means your device does not have a policy applied to that device for that setting from a management tool. Thanks Eddie for this info.
HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\Policies\DataCollection
If you do not have such a Registry key, then just create it. You might have to clear out the values for the first key above.
There you need to create a new a 32-bit DWORD value named AllowTelemetry and set it to one of the following values.
0 - Security Diagnostic Data Off
1 - Basic Required Diagnostic Data
2 - Enhanced (Value Removed)
3 - Full Optional Diagnostic Data
Regards,