Take a look at the example map
Counter-weighted Door for an example of a move_rope and mating keyframe_rope.
Assuming you have a move_rope with its "Next Keyframe" property set to the keyframe_rope, and you have the keyframe_rope Autoresize flag set, it sounds like the keyframe_rope isn't moving.
The keyframe_rope needs to be parented to a moving entity if you want the rope to change size. In the referenced example map, the keyframe_rope Parent property is set to a func_movelinear which is moved. I would think parenting the keyframe_rope to the func_tracktrain would work as well, assuming that you want the rope to change size as the tracktrain moves. If not, try another moveable entity such as a func_movelinear.
Also, make sure you have the Subdiv property of the keyframe_rope set to something reasonable (2 is probably plenty for a "straight-down" rope; 8 is maximum).
EDIT: I did a quick test map and it shows that a func_tracktrain works fine as the Parent property of the keyframe_rope. It shortens and lengthens relative to the move_rope as advertised.
Be sure you have the Slack property set to 0 so there isn't any extra rope length. I can't remember if it's the move_rope or keyframe_rope Slack that needs to be 0.