I guess if you wanted, you could modify the crank to take a key and then the pulley to accept it. They sell hardened keys that can be ground down to the size you need.
It's my understanding that keys do not provide any (significant) holding force but are used for locating the pulley. A system that relies on a key is a poor design.
The TDI-style pulley is totally the way to go - for one it's a VW part so you're not forever doomed to some crappycustom setup should you ever need parts anywhere. For another even a chewed-up crank can be machined to accept it. Finally it's proven to work without issue. Seems pretty straightforward to me!