When using the registry provider, "Items" correspond to KEYS (i.e. "folders"), whereas "Item Properties" correspond to VALUES. So you want to use the New-ItemProperty
cmdlet for this.
New-ItemProperty -Path 'HKLM:\SYSTEM\CurrentControlSet\Control\Session Manager\Environment' -Name 'Station' -Value '2' -PropertyType 'string'
You can view complete documentation on the registry provider by running Get-Help Registry
.