If I recall correctly, the ST Key only changes the country code to allow you to play imports.
Playing burns would still require either a mod-chip or swap-trick method. And since there's a program out there to allow you to change the country code on the ISO, you can change any ISO you have to your country code before burning it, thus rendering the ST Key uneeded (if you go that route). Some games won't work with a cart in the slot (I know the US Panzer Dragoon Saga does this, so there's possibly others).
Been a while since I messed with my Saturn though, so if I'm wrong here, someone feel free to correct me.
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