Yes I have set the value as Allowed Assertion Scope in the Step 13 mentioned in your document. Could you please elaborate more on what you said about key_identifier?
But, if you get this error, then my first guess is whatever you are using as a key_identifier (UserID or EmailID or something else) is not being recognized by JAM server!
I was using Chrome earlier but now I am using IE 8 since here I can see this error. In chrome it is neither showing any error nor the expected result.