Two avenues to pursue if you feel you have been damaged would be first the local Association of Realtors, for many in the South East Valley it's SEVRAR @ http://www.SEVRAR.com.
The Association would be the party to contact in the event you feel that the agent may of breached the Realtor Code of Ethics. You as a member of the public would have a right to file a complaint and have your complaint be heard. Most Realtors are very concerned about the Code of Ethics and operate with in them, some need reminders.
The 2nd group would be the Multiple Listing Service, for Phoenix its http://www.ARMLS.com.
ARMLS is the organization that actually holds the rules covering use of the lock box and keys. ARMLS rules are very specific and limited to the MLS, the lock box and or the use of the key to open the box.
The two Associations are separate and you may have the right to file complaints at both, the discussion I read could fall into both jurisdictions. A Realtor could breach the Code of Ethics by miss use of a lock box key falling into both groups.
I happen to serve on the Boards of Directors of both organizations and as a result will not be able to go further with you other than to make you aware of options that might be available. I personally give significant amounts of time volunteering to the Boards in an effort to increase professionalism in our industry.
Thanks for caring and please feel free to contact either or both of the organizations for further assistance.
Doug McVinua ABR CRS
United Brokers Group
Short Sale Expert