That behaviour normally happens with WHDLoad thinks the key is a pirated copy or not genuine. Either it will just shut itself down and go back to Workbench, or you get a black screen.

I'm not sure why your key works on a real system and not under emulation though. Where are you placing the key in the OS? I normally put mine in the S: directory and haven't had any problems running it in WinUAE or on real hardware.