not sure if this is a bug

Not a bug. Receiving a key has nothing to do with getting an S rank, even if you've reached your chest cap.

To have a chance at getting a key, all you need to do is win a match that isn't a custom or Co-op vs AI match. You have to remember, though, that it's not guaranteed that you will get a key, you only have a chance at getting one. Winning with a premade party does increase the chance of getting one.