The first thing you should do after applying Keylight is to choose the Screen Color (the color that will be removed and the spill removed). To do this, click the eyedropper by Screen Color, and click a background color in the image.
Note that you can't add to the Screen Color by repeatedly clicking in different parts of the image. Just click once on a pixel that is representative of the general color in the background. If too much background is still visible (or too much is gone), adjust the Screen Strength parameter.