Some notes:
I played around with IDirect3DRM::CreateObject a bit, and it also returns REGDB_E_CLASSNOTREG if the proper CLSID is not set. Another interesting note is that passing the same CLSID that worked for CreateObject to CoCreateInstance makes it fail. The SDK setup does in fact add the CLSID's to the registry - it seems that the setup reads d3drm.inf, creates a couple .reg files and runs that to create the registry entries. The only registry entry related to d3drm which the setup adds is "Direct3DRMObject" whose value is {4516EC41-8F20-11d0-9B6D-0000C0781BC3}, which matches that of CLSID_CDirect3DRM.
I installed this SDK on my XP VM, yet the tests fail, hmm.
I played around with different CLSCTX values as well - no luck so far.