Except Citadel keylogger is a known hacking tool and the bain of the banking industry, a variant of the Zeus trojan, and does attract the attention of law enforcement.
It's no surprise that MS Security Essentials(MSE) didn't detect your keylogger as its considered a very basic AV package. Even Microsoft recommends installing third party protection. But not surprising as keyloggers can be notoriously difficult to detect by many AV software once embedded in a system. Especially, in a rootkit. Which is why a keyboard encryption utility is also useful as intercepted key strokes just appear as random data.
Of course, even this may be ineffective against hardware based keyloggers which can be embedded within a normal USB cable. Which is why its wise not to use unfamiliar computer hardware where passwords are concerned.
In fact, the latest trend in exploits appear to be hardware based, as these cannot be detected by traditional AV software. Regardless if you're running Windows, MAC OSX, or Linux.