@Jclrk it looks like there are three pieces missing.
I do not have one and never used one, but there seems to be two pieces to the key and a threaded rod with a knob on the end to adjust them...
So I am thinking the outer key has a threaded hole and maybe some other method to stay in place and the inner one is riveted onto the end of the threaded rod to allow adjustment... relatively simple fix.
But when I watched the Woodsmith video it seems a little "fiddly" and not the most secure way to "key" your work.
Is there anyway to simply mount a key to the jig the proper thickness of your slot? While it would be dedicated to that particular box joint, it wouldn't flop around when you move from cut to cut... JMHO