Hi Mark,
A screenshot would be helpful, to save us downloading and opening your models... but I would suggest applying the load as a force or pressure to the side of the keyway (or possibly as a force on the inner edge of the keyway). If you apply a moment, it will try to actually twist the face of the keyway - use the Preview button to see what it's doing.
You should also then apply an equal and opposite reaction on one side of the bore - think about the free body diagram of the system. Use Review Total Load to ensure that the keyway load gives you the correct resultant torque.
Depending on which stresses you're interested in, you may find that you need to model an assembly of hub, key and shaft, and run a contact analysis to get meaningful results. Make sure that the clearances between the key and each slot are representative of the real fits!
Also, why have you created a 'dumb' copy of the model to set up the Simulate run?