This minor bug is Joomla 4 only (current beta 2), seen on two different test sites, with JCE 2.8.15 (and older versions).
Every time JCE is updated/reinstalled, the download key is removed, giving the error message The Download Key is missing in the Joomla Control Panel. Thus the download key has to be entered again. Other extensions (that are J4 ready, and use the download key system) don't have this problem.
Beyond that, JCE seems to be working just fine in J4.