The 'Requested registry access is not allowed' error typically indicates that you do not have permission to write to the registry. As the driver's connection information is stored in the registry, you will need to be able to access it to save changes to the connection properties. To resolve this issue, try to run the program as an administrator, which should have the necessary permissions to save the changes to the registry.
If running the program as an administrator or logging in as an administrator do not solve the issue, you can try to change the driver configuration.
Search for "ODBC Data Source Administrator" then 'Configure' the 'CData PBI <ProviderName> Sys' Data Source?
Then, set your OAuthSettingsLocation property to a location you have access to, such as: "C:\Users\Public\Documents\OAuthSettings.txt".
Click 'TestConnection' and finish the OAuth flow.
Setup the driver in Power BI and make sure you use the suggested Data Source name during the configuration.