FWIW, on my machine I don't have embedded nulls in any of the values that enum_keys is looking for:

>>> import winreg
>>> hkcr=winreg.OpenKey(winreg.HKEY_CLASSES_ROOT, '')
>>> n = []
>>> i = 0
>>> while True:
...   try:
...     n.append(winreg.EnumKey(hkcr, i))
...   except EnvironmentError:
...     break
...   i += 1
...
>>> [x for x in n if '\0' in x]
[]
>>>