What are the concequences of not giving the winner of your contest a key?

just throw it to the ninja , they will do the job !

You will have to deal with a not received tag. Which is bad and you will also have broken a hearth full of desires and illusions, which is worse.

You will probably be reported and suspended, locking you out of the site for some time. Provided your key was legitimately acquired, you should have no problems...

You get a thing on your profile that says a you did not give a person a game and your delivery % drops.
PS: I think the duplicate key thing was just rumors. 9 keys between all my friends and we had no issues.

1) Delete Giveaway
2) Buy a copy of the game and give it to the winner
3) Get suspended/banned! <- Yes! :D

I'd just give it to a friend, or create a simple puzzle with the key at the end instead of taking the risk.

You should definitely delete the giveaway when you aren't sure that the key works. You could also just buy the game and let the giveaway open. When you delete the giveaway you will loose one giveaway slot, when you let it open and the winner doesn't receive the key you also lose a slot and have the risk to get suspended.

PSA: Regarding Sonic Generations Keys from the AMD Facebook Promotion

I would just ninja it, would probably be safer for all involved