What collection (or Deployment Mode) was the Security Level created in? What collection or mode is the Gateway currently in? API Key creation only knows about Security Levels in the current mode of the Gateway. If you've created levels in some other collection/mode, you need to apply them during EDITING of the API Key.
This is a limitation of the UI because we can't know about the levels of the other collections/modes until the user tells us to look in those collections/modes, but the first avenue for a user to specify the collection is when they select it in the split-button during the last step of creation.
When a user opens the edit drawer for a resource, the row being interacted with has a specified collection/mode, and that allows for the Security Level query to specify the collection the key belongs to.