I downloaded that test keylogger from Zemana. I found out that if you copy and paste passwords and such, the keylogger won't pick it up. I copy and paste my user name and password for my online bank account. Just some info, probably already known..
I don't know what your security set up is, maybe you have something that blocks key loggers etc or maybe the Zemana test only checks for keystrokes, I haven't tested it, but you should try the SpyShelter Anti Test available at the bottom of http://spyshelter.com/ which has clipboard monitoring and will probably catch the copy and paste text.
And that was with the Clipboard monitoring test? I can say that copying a username and password field from several password managers both fields are picked up only if I allow it in Online Armor, I guess Comodo FW is doing the blocking too