Help! What should I do now?

If you have proof that you sent the game contact support. But I'd suggest you try to contact the winner again through chat.

Also to avoid this kind of situations I like to handle keys over steam chat.

Send in a support ticket.

This is why I do keys in chats, and screenshot the stuff in case they try that anyway. Some people are just jerks.

"Support"

You have him as friend, next time you see him tell him this:
"ola k ase ME ESTAH TROLLEANDO O K ASE, te he enviado la clave de Vigil por correo y por chat, aqui otra vez INSERT KEY HERE activa el juego y marcame como juego enviado en steamgifts o te reporto y te banean. Y voy a buscarte a tu casa y te revientoh toa la kara, va a haber mah sangre q nun matadero".

He will understand it, it's the kind of message appropriate for the comunities he is involved in.

Worst winner ever!

at top in Navi menu, click on Support - Create Ticket, contact Mods or push Request Another Winner if winner is fool.

The game is not added to his Steam account. Maybe he didn't received the mail/thought it was spam and deleted it. Keep on trying to contact him. There should be some kind of misunderstanding.