The issue of fake pop-up is alarming. It means your system is infected since you should not get popup of this kind unless you visit certain sites. I am not surprised you get this pop-up since you are still at SP2. This means potentially 100s of bugs and vulnerabilities which ZA or any other tool cannot protect against.
The registry issue is related to the impossibility of writing the value in your registry this is due to other processes accessing the key or the registry entry (or entire registry sections) been restricted to read only.
You should keep ZAX fully at default level since under certain conditions ZAX may act weirdly including inability to open the browser. Wait for the next version for playing with advanced feature in ZA program control.
I would warmly suggest you upgrade to SP3 and then get your system checked by SpywareHammer or BleepingComputer malware experts.