How can I create a registry value and path leading to it in one line using PowerShell?

You can pipe the creation line to the New-ItemProperty line as follows, but be aware that the -Force flag on New-Item will delete any pre-existing contents of the key:

New-Item 'HKCU:\Software\Policies\Microsoft\Windows\EdgeUI' -Force | New-ItemProperty -Name DisableHelpSticker -Value 1 -Force | Out-Null