I had the same problem when I tried to add key/mouse listener on Frame for start menu and another one on JPanel for game loop. The one on JPanel didn't work. I was told it dosen't work that way, you only add one listener (to one component that is) and send input data to any other parts of program who need it. Also your component where listeners are added needs to have focus. For example if you put listeners in JFrame and for game loop you create JPanel and add it to JFrame, JPanel or his child components might steal the focus from JFrame. I don't know if this is a good example, but you get the point.
Edit: huh.. I'm glad you solved it, I was to slow writing the message