Same issue for me. I also have a SiteGround install but it is public. I set the API key and I receive the email confirmation saying it was successfully applied. However, in Sucuri > Settings it still says “API Key: (not set)”.
The original solution to delete a line of code is not relevant any more as this code line does not exist.
I checked file permissions for the plugin directory and they are set correctly.
I have many other installs which are working fine. Just this one that is causing a problem.