I think this is a bug, or at least I hope it is. If I have a Fey Key in my inventory I must use it when I complete a solo dungeon or I can not leave through the door. Right now I can do 2 solo dungeons per day and I only get one free key per day from drops. I prefer to open the chest in the newer dungeon so I have to run that first or I will waste my key. Not a game breaking bug, but it could screw someone over if they bought keys from the vendor.
This is a weird case, since if the door is interactive (without a warning prompt), then players may accidentally leave before looting the chest. I'll see what we can do, though.
You can work around this for the time being by leaving through the front door, though it's quite a hike.
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You can work around this for the time being by leaving through the front door, though it's quite a hike.