No, you don't need this key
Go to Start ---> Run and type %temp%
Look for the SEP_Inst log file, open it and search for 'return value 3'
Copy 10-15 lines above it and post here, or you can just paste the entire log
This is not an issue with SEP, it is a check put in place to ensure the system will be stable and other apps not harmed during SEP install. SEP detected a possible issue if it proceeded with the install so it stopped from going any further.