How to audit registry keys related to Windows Defender's exclusions

Question

I want to audit changes made to "Exclusions" and its subkeys.
In order to do so, I right click and select Permissions > Advanced > Auditing > Add > Select Principal as 'Everyone' > Set permissions as Full Control > OK > Apply

As a result:

I get an access denied message.

I am local admin on the computer. The computer is not domain-joined one.

Any help is highly appreciated!