Key not received curiosity

I think that is because devs can revoke a key long after it's activated so if that happens the received either needs to mark it as not received or have a not activated on their account.

I noticed the 'Not Received' option is still clickable on GAs I won and marked as 'Received' even months ago

Nope - status stays open for 30 days after you first set it. After that you cannot! change it anymore and it gets greyed out.

Why is that?

Don´t know exactly, but if I had to guess it´s there to take workload off of support.
Normally the most common case might be that you won a game but there turned out to be some trouble with the gifters payment, therefore the key gets revoked.. Very unlikely for that to happen after more than a month - so you get that period of time to change it by yourself and keep your SG account clean of unactivated wins.
In other cases, where let´s say a developer revokes a batch of keys way further down the line the situation can not be rectified without the help of a moderator, like changing the received status (solves the winners problem) or retroactively deleting the giveaway (puts both, gifter & winner, on the good side of things again)

There are plenty of reasons to leave feedback selection open. For example, if someone has life circumstances that make it so they can't access SG, leaving feedback open allows the GA creator to still leave the giveaway up for the winner for when they're able to log back on, if that's something the GA creator wants to do.

On the other side of things, if there's an issue with the giveaway, it comes across as much more respectful to leave the feedback unset than to mark it as "Not Received". While it's not mechanically significant, it's still a nice gesture (though the winner should always communicate that intention in the giveaway comments, so staff is aware it's being left unset intentionally, and not due to the winner rejecting the gift).

If "Received" feedback should be marked, but isn't, the GA creator can always put in a "Request Received Feedback" support ticket to have support set the feedback to Received. For all other issues, a "Request New Winner" ticket works.

Meanwhile, as anothabrotha noted, "Received" locks in after a certain period of time (iirc, it happens when it's both 3 months after giveaway ends and also 30 days after feedback is set..?), to prevent surprise reversals. "Not Received" feedback does not ever lock in, however, as there's the intention to allow the GA creator to have a chance to try and deliver the game when they're once again able to have that opportunity, meaning the winner needs to still have the ability to fully accept that correction.

As for why there's a 3 month allowance on "Received" feedback adjustment, it's because 3 months is the standard period for credit card payment reversals. Even if the GA creator didn't intend fraud, sites like G2A are well known for such reversals, thus making it a well-established (albeit still quite rare) element of consideration for SG's giveaways. Anything past that time frame would much more likely be due to a developer/publisher reversal, which almost always hits a large number of SG users all at once and as such is addressed by staff in a generalized manner; With that being the case, in those situations there's not typically any need for winners to have to adjust the feedback on their end.