Ok, first this talk about saving MSR is for AMD instructions (SYSENTER/SYSRET), not for Intel SYSEXIT.
And indeed, the CPU simulated, a pentium 4, does not support SysEnter/SysExit.
I know because when I go to Machine menu, show journal I can see: ...
00:00:02.740255 VM: fHMEnabled=true (configured) fRecompileUser=false fRecompileSupervisor=false 00:00:02.740262 VM: fRawRing1Enabled=false CSAM=true PATM=true 00:00:02.740694 HM: HMR3Init: Falling back to raw-mode: VT-x is not available 00:00:02.740865 MM: cbHyperHeap=0x140000 (1310720) 00:00:02.746936 CPUM: fXStateHostMask=0x0; initial: 0x0; host XCR0=0x0 00:00:02.774577 CPUM: Matched host CPU INTEL 0xf/0x4/0x9 Intel_NB_Prescott2M with CPU DB entry 'Intel Pentium 4 3.00GHz' (INTEL 0xf/0x4/0x3 Intel_NB_Prescott2M) 00:00:02.774696 CPUM: MSR fudge: 0x000001db P6_LAST_BRANCH_FROM_IP ...
00:00:03.265885 Features 00:00:03.265886 Mnemonic - Description = guest (host) 00:00:03.265889 FPU - x87 FPU on Chip = 1 (1) 00:00:03.265893 VME - Virtual 8086 Mode Enhancements = 1 (1) 00:00:03.265896 DE - Debugging extensions = 1 (1) 00:00:03.265899 PSE - Page Size Extension = 1 (1) 00:00:03.265902 TSC - Time Stamp Counter = 1 (1) 00:00:03.265906 MSR - Model Specific Registers = 1 (1) 00:00:03.265909 PAE - Physical Address Extension = 1 (1) 00:00:03.265912 MCE - Machine Check Exception = 1 (1) 00:00:03.265915 CX8 - CMPXCHG8B instruction = 1 (1) 00:00:03.265918 APIC - APIC On-Chip = 1 (1) *** 00:00:03.265921 SEP - SYSENTER and SYSEXIT Present = 0 (1) *** 00:00:03.265924 MTRR - Memory Type Range Registers = 1 (1) 00:00:03.265927 PGE - PTE Global Bit = 1 (1) 00:00:03.265930 MCA - Machine Check Architecture = 1 (1) 00:00:03.265933 CMOV - Conditional Move instructions = 1 (1) 00:00:03.265936 PAT - Page Attribute Table = 1 (1) 00:00:03.265938 PSE-36 - 36-bit Page Size Extension = 1 (1) 00:00:03.265941 PSN - Processor Serial Number = 0 (0) 00:00:03.265944 CLFSH - CLFLUSH instruction = 1 (1) 00:00:03.265947 DS - Debug Store = 0 (1) 00:00:03.265951 ACPI - Thermal Mon. & Soft. Clock Ctrl. = 0 (1) 00:00:03.265954 MMX - Intel MMX Technology = 1 (1) 00:00:03.265957 FXSR - FXSAVE and FXRSTOR instructions = 1 (1) 00:00:03.265959 SSE - SSE support = 1 (1) 00:00:03.265963 SSE2 - SSE2 support = 1 (1) 00:00:03.265966 SS - Self Snoop = 0 (1) 00:00:03.265969 HTT - Hyper-Threading Technology = 0 (1) 00:00:03.265972 TM - Therm. Monitor = 0 (1) 00:00:03.265976 PBE - Pending Break Enabled = 0 (1) 00:00:03.265979 SSE3 - SSE3 support = 1 (1) 00:00:03.265982 PCLMUL - PCLMULQDQ support (for AES-GCM) = 0 (0) 00:00:03.265985 DTES64 - DS Area 64-bit Layout = 0 (1) 00:00:03.265988 MONITOR - MONITOR/MWAIT instructions = 1 (1) 00:00:03.265991 CPL-DS - CPL Qualified Debug Store = 0 (1) 00:00:03.265994 VMX - Virtual Machine Extensions = 0 (0) 00:00:03.265997 SMX - Safer Mode Extensions = 0 (0) 00:00:03.266000 EST - Enhanced SpeedStep Technology = 0 (0) 00:00:03.266002 TM2 - Terminal Monitor 2 = 0 (1) 00:00:03.266006 SSSE3 - Supplemental Streaming SIMD Extensions 3 = 0 (0) 00:00:03.266008 CNTX-ID - L1 Context ID = 0 (1) 00:00:03.266011 SDBG - Silicon Debug interface = 0 (0) 00:00:03.266014 FMA - Fused Multiply Add extensions = 0 (0) 00:00:03.266017 CX16 - CMPXCHG16B instruction = 0 (1) 00:00:03.266020 TPRUPDATE - xTPR Update Control = 0 (1) 00:00:03.266023 PDCM - Perf/Debug Capability MSR = 0 (0) 00:00:03.266026 PCID - Process Context Identifiers = 0 (0) 00:00:03.266029 DCA - Direct Cache Access = 0 (0) 00:00:03.266032 SSE4_1 - SSE4_1 support = 0 (0) 00:00:03.266035 SSE4_2 - SSE4_2 support = 0 (0) 00:00:03.266038 X2APIC - x2APIC support = 0 (0) 00:00:03.266041 MOVBE - MOVBE instruction = 0 (0) 00:00:03.266045 POPCNT - POPCNT instruction = 0 (0) 00:00:03.266048 TSCDEADL - Time Stamp Counter Deadline = 0 (0) 00:00:03.266050 AES - AES instructions = 0 (0) 00:00:03.266054 XSAVE - XSAVE instruction = 0 (0) 00:00:03.266057 OSXSAVE - OSXSAVE instruction = 0 (0) 00:00:03.266060 AVX - AVX support = 0 (0) 00:00:03.266063 F16C - 16-bit floating point conversion instructions = 0 (0) 00:00:03.266065 RDRAND - RDRAND instruction = 0 (0) 00:00:03.266068 HVP - Hypervisor Present (we're a guest) = 0 (0)
So my host CPU does support SysEnter/SysExit, but not my Guest CPU. Not sure if I can fix that... easily.