Required System Info:
* OS: Microsoft Windows XP Professional SP3
* Microsoft Security Essentials v4.0.1526.0
* CCleaner v3.19.1721
The Problem:
CCleaner's registry cleaner detects Microsoft Security Essentials' Telemetry folder as invalid registry data. Now rather that folder exists or not on the filesystem isn't really the point because CCleaner shouldn't mess with an installed antivirus' registry settings.
The problem with excluding it is CCleaner will only give a very basic exclusion of everything where it's located "Installer\Folders":
HKLM\Software\Microsoft\Windows\CurrentVersion\Installer\Folders
So essentially it can't be properly singled out as an exclusion, it's all or nothing with "Installer\Folders".
Here's what CCleaners right-click export reveals in registry.txt: