This error is because java.util.prefs.WindowsPreferences is trying to save information in HKEY_LOCAL_MACHINE\Software\JavaSoft\Prefs instead of under HKEY_CURRENT_USER\Software\JavaSoft\Prefs.
Open JMeter.bat file as the administrator and so it creates the key HKEY_LOCAL_MACHINE\Software\JavaSoft\Prefs. Hope this resolves the issue.