What setting am I missing?
As far as I can see none. Way stupid question but did you actually install and are you running that kernel? To make up for that stupid question, if you have /proc/sysrq-trigger but not sysrq, then maybe you could reconfigure the "ca::ctrlaltdel:" line in /etc/inittab to read "ca::ctrlaltdel:/bin/echo p > /proc/sysrq-trigger", which is the equivalent of doing alt+sysrq+p, then "telinit q" to have it reread inittab. I don't know though if it will work if your box is frozen but if it works using the keycombo ctrl+alt+del should now print the CPU registers.