I happened to buy HSG2 as a test run for this also and I never did see a "keys.bin" file. I have a .rif and a .sfo file in the LICENSE folder and 2 files in the SCUS94476 folder in GAME.
You might want to doublecheck your folders are in the correct places and named properly- one small break in the chain like one misspelled letter is all it takes to confuse the heck out of it.