There are no records of the King's specific opinions on "The Scottish Play". However, we can say beyond reasonable doubt that he was supposed to like it and he probably did.
Shakespeare's story of Macbeth differs from the historical source material found in Holinshed's Chronicles for three dramatic purposes. 1: Make the story more exciting. 2: Create more complex characters for Lord and Lady Macbeth. 3: Cater to the personality of King James I. In the grander scheme, all of the alterations serve the purpose of conveying the theme that Kings ruled by divine right and usurpation was a crime against nature and humanity.
The appearance and strange dialogue used by the witches was likely inspired by the relatively recent publication of A Discoverie of Withcraft by Reginald Scott and Daemonologie (PDF) by King James himself. The following is often cited as an example of Shakespeare nodding to James' opinions on the behavior of witches:
For where the Magicians, as allured by curiosity, in the most part of their practices, seekes principally the satisfying of the same, and to win to themselves a popular honor and estimation: These witches on the other part, being enticed either for the desire of revenge, or of worldly riches, their whole practices are either to hurt men and their goods, or what they possess...
Compare to Shakespeare's Macbeth, Act 1, Scene 3:
1 Witch: Where has thou been, sister?
2 Witch: Killing swine.
3 Witch: Sister, Where thou?
1 Witch: A sailor's wife had chestnuts in her lap,
And mounch'd, and mounch'd, and mounch'd: 'Give me,' quoth I:
'Aroynt thee, witch!' the rump-fed ronyon cries.
...
1 Witch: And the very ports they blow,
And all the quarters that they know
I' th' shipman's card.
I'll drain him dry as hay:
Sleep shall neither night nor day
Hang upon his penthouse lid;
He shall live a man forbid.
Probably the most notable changes to the story have to do with the character of Banquo. At the time Macbeth was being written it was believed that James I was a direct descendant of Banquo. In Chronicles, Banquo eventually becomes a coconspirator in the murder of King Duncan. In Macbeth, Banquo is noble and good throughout the play and is unaware of the plot to kill the king.
So while we can't say for certain that James I enjoyed watching Macbeth, the play is filled with indirect references to the King, caters to his interests, and reinforces his ideologies. Macbeth is commonly dated as having been completed in 1606. Shakespeare continued to write for The King's Men until 1613 or 1614, so there was certainly no serious offense caused by the play and it is therefore likely that the patron approved.
Edit for sources:
Chronicles of England, Scotland and Ireland, Volume 2 by Raphael Holinshed.
Macbeth, Arden Shakespeare, 2nd Series edited by Kenneth Muir.