Xeshra: I am actually buying almost any Steam game using a key and i never had any issue with any of those keys. However, i got my trusted sources and if it is rated bad... or no good payment conditions, i rather use a more expensive offer.
On GOG i do not use keys, as i am satisfied by sales only due to different reasons.
Reznov64: Do you know of any good key sites? I am looking at a small list of delisted games I want to buy and gray market seems like the only way to buy them.
Gray market? Not sure what you mean by this. In general, keys are a shop function and customer demand and by itself nothing in a "gray area". Although, the shops may not enjoy to see it so they bring up the impression of a somewhat paradox attitude, as soon as someone seems to use a key.
The thing is just, there are by its nature more illegal activities by using keys than what is usually done in "direct purchases". However. in order to get a working key... either a direct purchase have to be done first, or a publisher/dev (sometimes even the shop itself) was handing out a key to someone (it can be free or by using a mass-buying-offer). Either way, the worst that could happen is that someone is paying the key using a "stolen" payment option. In this case the banks involved may "get the verified payment" back from a shop to the "owner of the payment option". However... this is not a shops failure, it is actually the failure of the bank or the customer... who was not protecting their payment option well enough. There would be a insurance possible, yet they are to stingy making a insurance for it. On the other hand, they can pull billions into war, certain investments and whatelse, non stop... if it is serving their needs well. The security on the other hand is always something "the weakest" in any chain have to take over and ultimately they are the one suffering if anything bad happens. One of many reasons the inequality is increasing with a crazy pace... non stop.
If there is a "trusted key seller/reseller" i can not say. It totally depends on the game but there are several sites offering a big list of many key-vendors... and based on the ratings it can provide some hints what might be legitimate or rather the opposite. However... most valuable is the own experience and over time it is easy to tell "who is offering proper stuff" and who to avoid.
Syphon72: Even refunds are not working for you? I would DM a blue, because I refunded three games recently with no issue. I actually made a support case today and got the email with a case number. Sorry, that's happening.
You don't need to submit DX Dialogue file for refunds.
I think he is making something wrong... you should tell him how it is done properly.