Maybe the levels got mixed up, but the crucial info that a key is used up on release comes 1 or 2 level to late. If you (like me) assume that each direction can only be used for a single step, the first level becomes obviously impossible.
Also in the last level I could jump out off the frame into the black surrounding. I guess that's not intended. But the mechanics are nice and the puzzles already have a good difficulty! I would be interested in playing more puzzles.