Yeah, I just looked that up, and I can't see any explanation as to why Unity does that. It's probably okay for a small game, however I'd strongly recommend looking into saving the data in the game folder. Not only will it make things easier for players to backup their data as I've seen several people asking about, but if you try to make a bigger game, especially one to put on Steam, I can imagine you might get a lot of angry comments.
Very large amounts of data going to the registry can slow a computer down, and the last thing you want is to be making things harder for people to modify their games or change computers.