Yes, you should clearly back up before using it.
But consider this possibility:
It's November 3, 2009
You back up the registry, run the application, and make some changes in the registry according to your best judgment at the time.
Let's say you do that once a week for a month.
It's now Dec 3. You start an application you haven't used since October. It's haywire and doesn't act like it used to.
Which of the 4 intervening registry changes may have caused the problem? None of them? The one on Nov 3?? The one on Nov 10?? Do you have access to all 4 of your backups? Which, if any, do you try to restore?
I just don't want to have to deal with that uncertainty. There is enough other things to consider when things go bad without deliberately adding more.
But I will say I used a similar program for probably 3 years before I became suspicious enough to give it up.