It didn't work? Make sure you didn't make any mistake. I tested it in 3.2.0-8 and it worked for me.
Oh, maybe I know why pressing it once was enough. "Pressed by player" is a very tricky condition, because it lasts while you press the key, and the computer is so fast that even if you were holding the key very shortly, it will think you pressed it more times. Try using "switched" condition instead.
However, I don't know why it disappeared.
Change actions are things that happen when a changepage "activates". For example:
CE1
- [disabled checkbox] element changes to [leave this empty] when
- pressed by player
- change action: Show envelope 1
This means that when player presses the CE, envelope 1 appears (but if you didn't put any text in it on its own config page, it will be empty). The element doesn't actually change into anything else, so the checkbox next to "element changes to" should be disabled.
There are many various change actions and I think the best way to understand what they do is to try them

but I'll answer your question: "set keys" modifies which keys does the player have. Key 1 is red key, key 2 is yellow key and so on. Here, + means "add key" and - means "remove key", so, for example, "set keys + 4" does the same thing as if the player collected normal blue key.
Another example: "set gems * 2" doubles the number of gems the player needs to collect in order to win the level.