Mmmm, I actually got kinda annoyed here with this issue, since it's kinda dangerous.
So far I'm on the fence on this one, when I first started, I found out deleting your save game would also delete all your keys, so I could restart and get everything again.
I don't know how you can restart a Challenge Mode Game on Black 2 though, but White 2 it's easy, just get the key on a Black 2 savefile, start up White 2 (on a seperate (3)DS, send the Keys to White 2 save-file, start playing on White 2 save.
Be a bit cautious though, since deleting your save data WILL remove your keys collected, I learned this the hard way. --- X360: QuakeNLD - Steam: kraken.nld Currently playing: Borderlands 2 (PC) - Waiting: Watchdogs (PS4), Pokemon X/Y (3DS)
I've actually heard that the keys can only be transferred by the game they were obtained in, or possibly the one they are native to. I have not witnessed it for myself (yet).
If someone knows for sure, it'd be nice to get a definitive answer. Otherwise I think I'll bump B2 up on my list (I think I'm halfway through) and finally find out. --- Bow down to a true Pokemon-Amiiie!