I would like to know whether Kaseya is able to do some protection like a Windows Steadystate?
This is for a lab environment where I want to block the user from doing any system changes such as registry, command prompt, control panel and others system changes.
No, not really. There are some settings you can enforce within the Desktop Policy manager. You would do that via a GPO or creating a security policy that you could then have written down to a machine. I would do this via domain GPO.