Apparently this happens if someone else signs in on a different gamer tag on the same console, too. That's the only explanation I can come up with for why my aqueduct key disappeared between last night and tonight - my son played on his GT this evening before I got on. Given how annoying the jump puzzles are to get to the aqueduct chest, I feel especially ripped off.
NOTE: This is a different situation from the one described in the alert - that death with signing in on an alt character, not a separate gamertag. Since I have neither changed characters nor made a new one since I got the key, I had no reason to think the alert applied to my situation.
This has been an open issue for a week now. It looks like lots of people have lost keys. How is Bungie planning to make it up to us? More importantly, when?