There is a syslog message, but the CLI tool does not report failing to import the keys.
In my situation, the gmysql query was misconfigured:
$ pdnssec import-zone-key freecode.nl /etc/puppet/prod/modules/dns/files/keys/Kfreecode.nl.+005+44971.private zsk
Sep 28 15:47:40 shared pdns: Exiting because communicator thread died with error: Failed to execute mysql_query, perhaps connection died? Err=1: Table 'virtual.domainkeys' doesn't exist
catch a lot more errors in pdnssec and report them. Fixes #588. Fixing …