At a guess, you programmed the application key thru ESM.
As Patterson suggests, the key will only function in the default location if the system created it at first connection.
If it is not working, you can re-create it thru the programmable keys function directly at the phone.
I've heard the PC Companion can create it as well but never tried.
Last comment, if you are running 8.0 UR3 or higher, you do not need it at all as the Blue key is now the applications key.
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Occam's Razor - All things being equal, the simplest solution is the right one.