I can still confirm an identical bug with the newest release. I'm experimenting with packaging Chrome and at least in the capture directory, I do see HKEY_CURRENT_USER, HKEY_LOCAL_MACHINE and HKEY_USERS.
The only workaround I was able to find is by specifying the second option to the undocumented Subkeys command.
So, this works:
Set HKLM = VREG.OpenKey("HKLM", "SOFTWARE")
Whereas this, as you pointed out, does not:
Set HKLM = VREG.OpenKey("HKLM", "")
