He says the same thing as when I first received the key. Basically that I told him about Sofia, that he's there for me if I need anything and that there is a suprise (Sofia) waiting for me in the guest room. His assistant is seduced and he left Katarina. The key just wasn't added to my inventory. I tried to look in the save file for the key but I can't find any value indicating the inventory or having unlocked the key/guest room.
Well that is indeed weird, it shouldn't be a thing but I guess it can happen, what's the situation with Katarina and Emma? Is Katarina addicted to you? I don't know how much it affects but maybe it's related, if not, then I have no ideas left since I barely go in that route and I just betray Mario, maybe you can ask in the discord server? There's always the option to start a new game but I know it's the last thing you want to do.