SETKEYS only sets the KEYLIST for the LOG and MENU. The user must use the ISPF command KEYS for the others. Remember there is a different keylist for many of the different StarTool functions and setting them in one does not set it in the others.
If you are in StarTool, from the primary option menu or the StarTool log (option 8), issue the SUSPEND command. This will put you in line mode even if you were is a split session with ISPF. Now you can perform the IND$FILE process to download the dataset to the PC. Once this process is complete, issue command ISPMODE which will put you back to your startool session.