The docs suggest that generated_key should be called in a procedure. However calling outside of a procedure will currently return no values as the keys are associated with the executing command context only. Ideally from a connection the user should be able to do:

insert into ...;

select generated_key() ...;

In separate statements and still retrieve the key value.

The workaround is to use an anonymous procedure block:

begin
insert into ...;

select generated_key() ...;
end