Not every game counts on Steam library?

Sometimes you can, yes. If you've got a key for a game that has been removed you can do activate it and play the game. There is also another one I know of, If you've got a pass for the crew wild run beta, you can activate that, it doesn't have a store page yet, there's probably other cases like that too.

Yes you can, eg happened several times with groupees build a greenlight bundles, they added the keys for some greenlit games day or two before they got pages on steam. And like Smithers already said - removed games.

you can, and not only for removed games. there are games that are not released yet and don't have a store page yet, but you can add them with a cd key. this happens quite often with greenlight titles. you get the key early on the bundle site, before they even set up the store page.

it's can take few minute to be recognize even hour