But that seldom makes any difference, since the game will be most often happy to create the appropriate keys itself if it doesn't find them. The worst thing that can happen is that you'll lose your game settings (like sound and music volume etc.) (since these are the things that are most often shoved into the registry).
With other programs, you may lose other things this way (for instance, the menu you get after right-clicking a file or directory is controlled from within the registry. Some programs like WinRAR will put shortcuts in there, so you can just right-click a folder and then click "Pack to RAR".), but I think I've never met a program that would refuse to run if it doesn't have its registry keys in the place.
(Note that, however, the setup programs check for the registry keys, so they will think that the game is still "uninstalled". Which may cause some mess when you want to uninstall or reinstall the game .)