Virtue, you didn't mention whether you've actually paid for Keyclone. If you haven't, then you need to - it won't do anything until you do.

If you have, drop user "Keyclone" a private message on these forums and he'll be able to tell you what the delay in activation is.

As an aside, you don't need to use KC to launch your game - it will add windows by title if told to - but you're missing out on some additional functionality (PiP, maximizer) by not doing so. Not a show-stopped by any means though.