I have experienced the same problem after install Windows 10 Anniversary Update on 8/18/2016.
The previous posts correctly identify that the problem is that the 'ALL APPLICATION PACKAGES' group or user name needs to be set to "Full Control".
If you follow the previous instructions, you will be able to save the profile, but will receive the HKLM error message when you hit the Play button.
By looking into the vxLauncher source code, I found that they also update a KEY branch related with the virtual store. This virtual registry contains entries at each user level. Every HKEY_USER is different, assigned at the time that the user account was created in your machine. For example, the path to my account registry looks like:
Update both keys to 'ALL APPLICATION PACKAGES' -> "Full Control", and after that, the play button will work as expected.