when running anything like this, for the first time, especially a program that 'removes' things, yes, a reg backup and a new restore point cannot hurt.
with reg cleaners, they really are useless from a performance and maintenance standpoint. from malware removal type of stuff, yep, they have their place.
even the official word from MS is to avoid reg cleaners.
with restore points, realise they only 'snapshot' system files, not any of your personal files, and only certain system files at that. enough system files to hopefully rollback from a faulty driver installation, or to get the PC to boot again, they will not take the whole OS back to a point in time.
for that you should be doing image backups, say with Macrium Reflect Free, but there are others.
as to your last 2 questions, the screen shot tells me PrivaZer does cut a lot deeper than CC, but I knew that, and, as such, it
may not be
perfectly safe to use.
as stated earlier, you won't lose personal data but you may lose system settings, personal customisations etc, but it should be nothing you can't recreate if needed.
sadly, no-one knows your PC better than you.