I think the glovebox one is to turn the alarm on and off. (don't know what the key looks like as I haven't got one!)
Under the flappy bit where the washer bottle is is another keyhole - this just turns the siren on and off. (should be a small key with a black plastic holdy-bit.)
edit: The glovebox one turns with the other key in mine but it does just seem to spin the whole lock rather than just the mechanism itself, so yours might be the same, hence no effect!