add_settings_error() not working unless I call settings_errors()

In my plugin, I add a an option to the options page as follows:

register_setting('sbs_gig_options','sbs_gig_options','sbs_gig_validate_options');
add_settings_section('sbs_gig_main',__('Settings','sbs_gig'),'sbs_gig_lastfm_text','sbs_gig');
add_settings_field('sbs_gig_lastfm_key',__('Last FM Key','sbs_gig'),'sbs_gig_lastfm_key','sbs_gig','sbs_gig_main');

and the validation function looks like this:

function sbs_gig_validate_options( $input ) {
// Create our array for storing the validated options
    $valid = array();
    // Loop through each of the incoming options
    foreach( $input as $key => $value ) {
        // Check to see if the current option has a value. If so, process it.
        if( isset( $input[$key] ) ) {
            // Strip all HTML and PHP tags and properly handle quoted strings
            $valid[$key] = strip_tags( stripslashes( $input[ $key ] ) );
            if ($key=='lastfmkey') {
                if (!sbs_gig_verify_lastfm($valid[$key])) {
                    add_settings_error('sbs_gig_lastfm_key','lastfmkey_error',__('Please enter a valid Last FM API Key','error'));
                    $valid['lastfmkey']='';
                }
                else {
                    $valid['lastfmkey']=$input[$key];
                }
            }
        } // end if
    } // end foreach
    // Return the array processing any additional functions filtered by this action
    return $valid;
}

From what I’ve read, the error I add via add_settings_error() should be displayed automatically, but it’s not. I have to explicitly call settings_error() to get the error to display. Can anyone suggest why?