You seem to be confused, the files you are looking for probably exist.
The Crypto folder, as you may have noticed in your attrib command, is a system folder, this means it is not shown when using the dir command by itself.
C:\Users\myuser\AppData\Roaming\Microsoft>dir
Volume in drive C has no label.
Volume Serial Number is E042-CE10
Directory of C:\Users\myuser\AppData\Roaming\Microsoft
01/17/2012 10:26 AM <DIR> Access
04/29/2010 01:49 PM <DIR> ActiveSync
01/12/2010 11:39 AM <DIR> AddIns
04/01/2010 09:44 AM <DIR> CLR Security Config
06/28/2010 11:10 AM <DIR> CLView
09/06/2011 12:24 PM <DIR> Communicator
01/12/2010 11:41 AM <DIR> Document Building Blocks
......
Notice that the Crypto folder is not shown, but if we do a 'dir /a' we see it.
C:\Users\myuser\AppData\Roaming\Microsoft>dir /a
Volume in drive C has no label.
Volume Serial Number is E042-CE10
Directory of C:\Users\myuser\AppData\Roaming\Microsoft
01/04/2012 12:58 PM <DIR> .
01/04/2012 12:58 PM <DIR> ..
01/17/2012 10:26 AM <DIR> Access
04/29/2010 01:49 PM <DIR> ActiveSync
01/12/2010 11:39 AM <DIR> AddIns
04/01/2010 09:44 AM <DIR> CLR Security Config
06/28/2010 11:10 AM <DIR> CLView
09/06/2011 12:24 PM <DIR> Communicator
09/07/2011 11:34 AM <DIR> Credentials
02/05/2010 08:30 AM <DIR> Crypto
01/12/2010 11:41 AM <DIR> Document Building Blocks
......
The same is true with the Keys and RSA folders within the Crypto folder, they are marked as System. In fact everything withing the RSA folder is marked as System.
C:\Users\myuser\AppData\Roaming\Microsoft>attrib Crypto
S I C:\Users\myuser\AppData\Roaming\Microsoft\Crypto
C:\Users\myuser\AppData\Roaming\Microsoft>attrib Crypto\RSA
S I C:\Users\myuser\AppData\Roaming\Microsoft\Crypto\RSA
C:\Users\myuser\AppData\Roaming\Microsoft>attrib Crypto\Keys
S I C:\Users\myuser\AppData\Roaming\Microsoft\Crypto\Keys
Thus if you were to run dir within the Crypto folder it would show you that no files or folders exist (that are not System files) but a dir /a would show them.
C:\Users\myuser\AppData\Roaming\Microsoft\Crypto>dir
Volume in drive C has no label.
Volume Serial Number is E042-CE10
Directory of C:\Users\myuser\AppData\Roaming\Microsoft\Crypto
File Not Found
C:\Users\myuser\AppData\Roaming\Microsoft\Crypto>dir /a
Volume in drive C has no label.
Volume Serial Number is E042-CE10
Directory of C:\Users\myuser\AppData\Roaming\Microsoft\Crypto
02/05/2010 08:30 AM <DIR> .
02/05/2010 08:30 AM <DIR> ..
02/05/2010 08:30 AM <DIR> Keys
01/12/2010 11:18 AM <DIR> RSA
0 File(s) 0 bytes
4 Dir(s) 70,075,576,320 bytes free
C:\Users\myuser\AppData\Roaming\Microsoft\Crypto>
I don't know what the issue is actually creating your keys, but I don't think it is a permissions issue or any other unexplained oddity. I know this is late getting to you, but it does explain what you are\were seeing.