On my Windows 10 Pro 20.04 edition, that group policy has no effect. The only way to get rid of it was to use the registry edit you've also referenced.
I'm now running a 2004 updated Pro host with that Group Policy setting and don't see any web search results. I also checked my registry and I don't have that DWORD key.
Rebooting will refresh the group policy, so that should have worked. Maybe try also enabling the "Do not allow Web Search" policy which is adjacent in Admin Templates > Windows Components > Search. That seems to be all the configuration I have to make it work.
- Don't search the web or display web results in Search
- Don't search the web or display web results over metered connections
According to the help menu for the middle one it states: "If you enable this policy setting, queries won't be performed on the web and web results won't be displayed when a user performs a query in Search.".
You can see that setting listed on the bottom of the page, but it's not super clear because it's referencing an older version of Windows in those docs.
Maybe you have another tool blocking it, or you've blocked it at the /etc/hosts level in the past?