Try connecting the “key” pin to either ground or to PWM. I have the same product you do, and connecting PWM to ground does not disconnect the power out on mine either. However connecting either PWM to Key or Ground to Key do disconnect power. I’m guessing that perhaps connecting Key to Ground might be used with a SPST on-off switch and that PWM-to-key with high frequency PWM. I’m about to try that with an Arduino.

If you turn the board over, there is a schottky diode (S4) adjacent to the PWW (center of the three holes). The PWM has a small solder connection from the PWM pad over to the anode (non-banded end) of the schottky diode. That is, the PWM is connected to the anode of that diode. Check for continuity there. If it is not present, it may explain why your PWM pin doesn’t disconnect output when connected to the KEY pin and you can fix it by insuring the solder connection. If the PWM pin is properly connected to the anode of that diode, I would suggest you try again because I did find that occasionally connecting the KEY and PWM did not disconnect output. I’m not sure why.

If the KEY – GND function fixes your issue, that’s great. But if you do want to use PWM (for which you would need to change the Arduino PWM frequency to 100 – 300 Hz by means of the setPwmFrequency function) I think it will only work with the PWM pin. I was able to get it working using the Arduino Uno pin 11 and setPwmFrequency(11,128) function parameters which divides the normal frequency of that PWM pin of 31250/128 = 244 Hz.