Tried again today (installation was performed yesterday) and now I received an email with key... So try-a-different-day worked. 
Hello, I deployed the SCG VE ovf. Fresh installation no update. Everything went as expected till configuration in the webui. For MFA i needed to generate a PIN and key on Dell Support page. I selected my site, entered a PIN and generated the key. According to the key history on the support page, the email was send successfully to my mailbox. However I didn't receive an email. I also tried with a different account/email but didn't receive the generated key. I also checked if the mail was rejected by mail server or went into spam. Did I miss somthing or is it a known issue?  
SCG pin and key e-mail doesn't arrive