Hi @lifalin2016,
The Python Compatibility parameter controls which Python interpreter is used when a workspace is run. This is a workspace-specific parameter that is found in the Navigator pane (Workspace Parameters > Scripting > Python Compatibility).
The Preferred Python Interpreter setting is only used by FME when Python Compatibility parameter is Python 2.7 or 3, the Python Compatibility parameter doesn't exist on the workspace, or when running FME Python interpreter’s interactive shell. This setting also controls the default Python Compatibility value when a new workspace is created via Workbench.
So changing the Python interpreter used when a workspace is run should be done through a workspace's Python Compatibility parameter instead of the Preferred Python Interpreter setting.
That being said, the relevant registry setting(s) would be found under HKEY_CURRENT_USER as mentioned in this comment.