The registry key in question is HKEY_LOCAL_MACHINE\SOFTWARE\Software AG\System Management Hub\Products\Tamino\Users but this only enables the access to Tamino. The general SMH access is checked with the system, i.e. if the user hugo (or with domain GROUP: GROUP\hugo) is a registered user at the machine (here localhost), SMH will let you pass.
The most common reason here is to forget the domain.
The hint that the SMH gets the password form system was the solution. My login-name at the Wint NT system was not the same as the SMH wanted. Because my computer is in a network you must specify the full qualified login name. (You can only login on SMH if you are really Local Administrator on this machine.)
In this case the login name is: [Domain Name]/[login name]