I don't think you're missing anything, but that command should delete that value.
Try this (kind of radical but will work):
Shut down IIS
Open c:\windows\system32\inetsrv\metabase.xml in Notepad (or your favorite text editor)
Search for SetHostName
Delete that line
Start IIS
See if the command returns the same thing after that.
It may be that your permissions in the Metabase are fouled up or there may be something else going on.
I just ran through setting and deleting that value to make sure and it works fine on my IIS6 server.
Dave Dietz