On the QA server, I get the key and I am in the first sneak room. The game talks about collecting coins in the room. I don't see any coins just lying around. There are chests I can't open. I don't know if I am supposed to pickpocket the sentries.
There are two or more chests in each warehouse room. The coins are in the chests. Each room has a 60 second timer. When you enter the room, the room's timer starts. There are smaller clock faces on the walls to let you know the room's timer status. There's also a large clock face in each room to show you the timer assigned to all rooms. If you don't collect the coins before the room's timer runs out, the training exercise ends and you can't open the chests anymore until the timer resets. I think this is possibly what happened to you. But don't worry, you can come back with a new key in about an hour to try again.