[jazzor]

I have reverse engineered several PX6 roms and I can assure you that the key 1 and key 2 is not required to be used.
The "simple" A3/A4/TT canbus is plenty capable of doing everything, including all the steering wheel buttons, and is used by many different android rom types (8257, teyes, PX5, PX6, etc etc). So either the seller gave you a bad rom or a bad canbus box.

 

[jazzor]

Does other canbus functions work aside from the steering wheel controls? For example, if you turn the headlights on, the unit should reflect this by lowering the brightness and the soft buttons should turn on.
Does the door function work? Some roms (not all) allow displaying the door opening status. Does putting it to reverse switch the head unit to camera mode? These all require the canbus box -> head unit to function correctly.

If other canbus features work, then it could be the cable itself. The 16 pin simple canbus has pin outs for lights, ACC on/off, reverse, along with CAN H and CAN L. I would inspect the cable coming off each pin and see if that is going into the head unit correctly.

This is the simple canbus box pinout:

 

[jazzor]

Also it might be worth posting a picture of your canbus box