You only need to do the setup once. You DO NOT need to do it on all spreadsheets.
You must be the creator of the spreadsheet you set up your API key on.
Click Extensions > SheetAI App > Launch and then enter your license key and Save!
Now you can close the Sidebar and start Using SheetAI() and other SHEETAI_ functions.
Make sure you use SHEETAI function in google sheets where you are owner, only then you can fetch your OpenAI API key.