Multiple Criteria Decision-Making (MCDM) based Multi-objective Evolutionary Algorithms (MOEAs) are increasingly becoming popular for dealing with optimization problems with more than three objectives, commonly termed as many-objective optimization problems (MaOPs). These algorithms elicit preferences from a single or multiple Decision Makers (DMs), a priori or interactively, to guide the search towards the solutions most preferred by the DM(s), as against the whole Pareto-optimal Front (POF). Despite its promise for dealing with MaOPs, the utility of this approach is impaired by the lack of-. objectivity; repeatability; consistency; and coherence in DM's preferences. This paper proposes a machine learning based framework to counter the above limitations. Towards it, the preference-structure of the different objectives embedded in the problem model is learnt in terms of: a smallest set of conflicting objectives which can generate the same POF as the original problem; the smallest objective sets corresponding to pre-specified errors; and the objective sets of pre-specified sizes that correspond to minimum error. While the focus is on demonstrating how the proposed framework could serve as a decision support for the DM, its performance is also studied vis-à-vis an alternative approach (based on dominance relation preservation), for a wide range of test problems and a real-world problem. The results mark a new direction for MCDM based MOEAs for MaOPs.