I’m having a similar problem. It requests my key and after I enter and submit the proper key, I get the following message:
According to the WordPress.com database, this API key is already associated with at least one self-hosted blog. You can add this as a new blog on your WordPress.com account or replace an existing blog and inherit its stats history.
At the bottom there’s a button that says ‘Add to WordPress.com account’ and after clicking it I just get a red box with the error “Missing API key” in it. Also, the message from the last page prompted me to go on my wp.com’s dashboard and see if there was something in there to add the information, but it’s either not there or I’m looking in the wrong places.
Thanks for any help.