EDIT : I finally received the key today (25/02/2020). Thank you. :)
Same issue here: I backed the game on Kickstarter back in 2015 at the Wizard level, didn't receive any key except for the digital soundtrack. But I can't even activate that key since Steam needs me to own the game, which I don't since I never received any Steam key.
I sent an e-mail to [email protected] a week ago, and I'm still waiting for an answer. I also tried to ask on Twitter and on the Steam forums, there is still no answer.
It really reflects badly on the team, when a simple comment or announcement on Kickstarter such as "We've identified the issue, we are looking into it. No ETA on the fix but we will keep you updated shortly" would be better than the simple silence that lead some people to report the project.