NCryptExportKey fails when trying to export RSA key

Question

I'm trying to create a RSA private key with NCryptCreatePersistedKey and then later to export it into a BLOB with NCryptExportKey, but I don't understand why it fails. This is how I create the private key:

    if (NCryptOpenStorageProvider(&providerHandle,
        MS_KEY_STORAGE_PROVIDER,
        0) != 0)
    {
        std::cout << "Failed NCryptOpenStorageProvider" << std::endl;
        exit(-1);;
    }

    if (NCryptCreatePersistedKey(providerHandle,
        &keyHandle,
        NCRYPT_RSA_ALGORITHM,
        L"MyKey",
        0,
        0 
        ) != 0)
    {
        std::cout << "Failed NCryptCreatePersistedKey" << std::endl;
        exit(-1);
    }

    NTSTATUS status = -1;
    DWORD dwBits = 2048;
    if (NCryptSetProperty(
        keyHandle,
        NCRYPT_LENGTH_PROPERTY,
        (PBYTE)&dwBits,
        sizeof(dwBits),
        0
    ))
    {
        std::cout << "Failed NCryptSetProperty to key size" << std::endl;
        exit(-1);
    }

    DWORD export_policy = NCRYPT_ALLOW_EXPORT_FLAG | NCRYPT_ALLOW_PLAINTEXT_EXPORT_FLAG;

    if (NCryptSetProperty(
        keyHandle,
        NCRYPT_EXPORT_POLICY_PROPERTY,
        (PBYTE)&export_policy,
        sizeof(export_policy),
        0))
    {
        std::cout << "Failed NCryptSetProperty to export policy" << std::endl;
        exit(-1);
    }

    if (NCryptFinalizeKey(keyHandle,
        0) != 0)
    {
        std::cout << "Failed NCryptFinalizeKey" << std::endl;
        exit(-1);
    }
    std::cout << "Private key successfully created." << std::endl;

    DWORD                   blobLength= 0;
    
    if (NCryptExportKey(
        keyHandle,                  // Handle of the key to export
        NULL,                       // Handle of the key used to wrap the exported key
        BCRYPT_RSAFULLPRIVATE_BLOB, // Blob type (null terminated unicode string)
        NULL,                       // Parameter list
        NULL,                       // Buffer that recieves the key blob
        0,                          // Buffer length (in bytes)
        &blobLength,                // Number of bytes copied to the buffer
        0) != 0)                    // Flags
    {
        std::cout << "Failed to export" << std::endl;
        exit(-1);
    }

    std::cout << "Successfully exported" << std::endl;

The error code thrown by NCryptExportKey none of those documented in the CNG API (i.e. NTE_BAD_FLAGS, NTE_BAD_KEY_STATE, NTE_BAD_TYPE, NTE_INVALID_HANDLE, NTE_INVALID_PARAMETER)

Maybe the way I create the private key is wrong, something is missing ? Also not sure what blob type I should use in NCryptExportKey.