You are missing something very important... portalid.  I have attached a small portion from an import module I wrote to pull data from an HR file and you'll see that we are pretty much on the same lines.  Please note that the "else" statement below comes right after a check to see if the user already exists (in a hashtable I loaded with portal users).  Lines in red are important for various reasons... doesn't look like you are trying to do anything with profile fields, but this is included just in case.

 else
{
user = new UserInfo();
user.Profile.InitialiseProfile(PortalId);
user.Email = rec.Email;
user.PortalID = PortalId;
user.Username = rec.Login;
user.Profile.PreferredLocale = "en-US";
// strip off leading 0's
user.Profile.SetProfileProperty("Employee ID", rec.EmployeeId.TrimStart(new char[] { '0' }));
user.Membership.Password = UserController.GeneratePassword(9);//Macu.Security.PasswordGenerator.GeneratePassword();
user.Membership.Username = rec.Login;
}

user.FirstName = rec.FirstName;
user.LastName = rec.LastName;
user.DisplayName = rec.DisplayName;

// set profile
user.Profile.FirstName = rec.FirstName;
user.Profile.LastName = rec.LastName;
user.Profile.SetProfileProperty("Date of Birth", rec.DateOfBirth.ToShortDateString());
user.Profile.SetProfileProperty("Seniority Date", rec.HireDate.ToShortDateString());
user.Profile.SetProfileProperty("Work Phone", rec.WorkPhone);
// strip off leading 0's
user.Profile.SetProfileProperty("Supervisor ID", rec.SupervisorId.TrimStart(new char[] { '0' }));
user.Profile.SetProfileProperty("Employee Status", rec.Status);
// get old code, if any
previousLoc = user.Profile.GetPropertyValue("Org Level 2 ID");
user.Profile.SetProfileProperty("Org Level 2 ID", rec.OrgLevel2Code);
user.Profile.SetProfileProperty("Position", rec.Position);

// set membership
user.Membership.Email = rec.Email;
user.Membership.Approved = (rec.Status == "A" || rec.Status == "L");

I am getting a foreign key constraint error.  The error is:

The INSERT statement conflicted with the FOREIGN KEY constraint "FK_UserProfile_Users". The conflict occurred in database "DATABASENAME", table "dbo.Users", column 'UserID'. The statement has been terminated.

The user record gets created in the Users table, but the profile record is not added in the UserProfile table.  Here is an example of the code I am using:

Public Function CreateNewUser(ByVal strUsername As String, ByVal strFirstName As String, ByVal strLastName As String, _
     ByVal strEmailAddress As String) As DotNetNuke.Security.Membership.UserCreateStatus

     ' preliminary check to be sure that the fields are filled in
     If String.IsNullOrEmpty(strUsername) Or String.IsNullOrEmpty(strFirstName) Or _
          String.IsNullOrEmpty(strLastName) Or String.IsNullOrEmpty(strEmailAddress) Then
               ' cannot have empty values
               If String.IsNullOrEmpty(strUsername) Then _
                    Throw New NullReferenceException("The USERNAME variable for CreateNewUser() cannot be empty.")
               If String.IsNullOrEmpty(strFirstName) Then _
                    Throw New NullReferenceException("The FIRSTNAME variable for CreateNewUser() cannot be empty.")
               If String.IsNullOrEmpty(strLastName) Then _
                    Throw New NullReferenceException("The LASTNAME variable for CreateNewUser() cannot be empty.")
               If String.IsNullOrEmpty(strEmailAddress) Then _
                    Throw New NullReferenceException("The EMAILADDRESS variable for CreateNewUser() cannot be empty.")
     Else
          ' validate the e-mail address format
          If Not MyNameSpace.Common.Utilities.RegExLibrary.ValidateEmailFormat(strEmailAddress) Then _
               Throw New Exception("The e-mail address was in an invalid format")
     End If

     ' create a new user instance and populate it
     Me.User = New DotNetNuke.Entities.Users.UserInfo
     With Me.User
          .Profile.InitialiseProfile(PortalSettings.PortalId)
          .DisplayName = String.Concat(strFirstName, " ", strLastName)
          .Email = strEmailAddress
          .FirstName = strFirstName
          .IsSuperUser = False
          .Membership.CreatedDate = DateTime.Now
          .Membership.Email = strEmailAddress
          .Membership.Password = DotNetNuke.Entities.Users.UserController.GeneratePassword
          .Membership.UpdatePassword = True
          .Membership.Username = strUsername
          .Username = strUsername
          .Profile.FirstName = strFirstName
          .Profile.LastName = strLastName
          .Profile.PreferredLocale = Me.PortalSettings.DefaultLanguage
          .Profile.TimeZone = Me.PortalSettings.TimeZoneOffset
     End With

     'Set the Approved status based on the Portal Settings
     If Me.PortalSettings.UserRegistration = DotNetNuke.Common.Globals.PortalRegistrationType.PublicRegistration Then
          Me.User.Membership.Approved = True
     Else
          Me.User.Membership.Approved = False
     End If

     ' attempt to create the DNN user
     Dim objStatus As UserCreateStatus = Users.UserController.CreateUser(Me.User)
     Dim args As Modules.UserUserControlBase.UserCreatedEventArgs
     If objStatus = UserCreateStatus.Success Then
          args = New Modules.UserUserControlBase.UserCreatedEventArgs(Me.User)
          args.Notify = True
     Else    ' registration error
          args = New Modules.UserUserControlBase.UserCreatedEventArgs(Nothing)
          args.Notify = False
     End If
     args.CreateStatus = objStatus

     ' perform some DNN logic
     Me.UserCreateCompleted(args)

     Select Case objStatus
          Case UserCreateStatus.Success
               ' add to the BLL membership
               Me.User = DotNetNuke.Entities.Users.UserController.GetUserByName(PortalSettings.PortalId, Me.User.Username, True)
               HttpContext.Current.Session.Add("CreateNewUserID", Me.User.UserID)
               If Me.User.UserID > 0 Then MyNameSpace.Events.UserLogin(Me.User)
          Case Else
               ' something happened
     End Select

     Return objStatus
End Function

I thought about moving the Profile assignments lower, but I do not know how to save changes to the userinfo object yet (I haven't researched it yet, but it is probably somewhere in the ManageUsers.ascx control in the DNN source).  What is causing this error and how do I get around it?