Cannot configure encryption on Xbee Zigbee S2 2mW

XBee & XBee Gateway XBee - Zigbee
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Hello,

I am trying to configure the encryption on 2 Xbee Zigbee S2 2mW using these steps:

https://www.digi.com/resources/documentation/Digidocs/90002126/tasks/t_setup_encryption.htm?TocPath=Get%20started|Do%20more%20with%20your%20XBee%20modules|_____5

but none of them seems to store the key. I mean that I enable the encryption, I give the key, I plug off the Xbee from USB, then I plug on the USB on my PC, and when I go to the configuration area on X-CTU software, the KEY is not kept.

What am I doing wrong?