Edit: I am getting the keys now, let test something.
Edit 2: I fixed it. I messed up something with UI mod, the keys was on my inventory, plus I was confused about not being able to use the key in the more logical door (not sure if that is the way it was on Morrowind)
I just installed v60, I was on v58; not sure if the problem was already present.
I tested to steal a key of a npc, and the key was not in my inventory, used the taunt to kill it, got the key and again, not in my inventory. Tested with a different npc, killed it, got key of dead body, not in my inventory.
The 2 npcs I tested are: Verara Rendo and Dranas Sarthram, on Suran.
Is something preventing me to get keys? or making the keys disapear?

Did you Install Morroblivion
Did you Install Morroblivion V060 on a Clean Installation Of Oblivion.
Having Old Morroblivion Pre V095 and Before Directory Structure in you Game will only Create Errors.
If running a Save from V058 fair Chance it is Not Compatible with V060 a Lot of Changes between the 2 Version , Things that are in Your Save will not Be in The same Place as the were in V058
Killed both Verara Rendo's key and got Holding Cell Key.