They're his fantasies, not yours, so what's in it for you?
The first benefit is EMOTIONAL. Yes, I know men in any kind of extended chastity can become more affectionate etc, but I don't mean that - that's as suspect as affection that comes out of a bottle or a happy pill.
No I mean two very simple emotional byproducts of any similar adventure:
First, helping a person live out a fantasy is to give them a wonderful intimate gift, which is an emotional thing.
Second, no matter how he pitches the fantasy, it is a rather embarrassing one, so he's making himself vulnerable to you. Intimacy is built partly on mutual vulnerability, which has to be an emotional benefit.
Fortunately, you can give this intimate gift and enjoy and reward his openness without going to much effort...
Whatever the flavour of chastity, you don't actually have to anything extra sexually! Yes, he may want you to teased and torment him, but once he's locked into a chastity belt, almost anything you do will have that effect. Think of it as passive teasing.
Imagine making love as normal, perhaps using a strap on dildo to substitute for his penis... you don't even have to act differently. You get the intimacy, the orgasm, and the afterglow, and he gets wild frustration. Everybody's happy. (If you do feel like taking advantage of him... well we'll come to that later.)
So much for sex. There remains what to do about the key. It depends on his flavour of chastity...
CHASTIZED MALE (wants out, wants you to use the key as leverage.)Do just this, and you'll be granting him a wild and special experience.
This one is the most effort. You have the key and are supposed to use it as leverage. He may want to pester and plead, which you may or may not enjoy - you can always tell him not to plead or the adventure is over.
The trick is to put the key out of easy reach so you are never tempted to just free him.
For extended games, make him earn his release over days, not hours and decide ahead of time before freeing him. Consider using time lock encryption software - make him set this up so you can keep upping his sentence without being able to change your mind.
For just bedroom chastity, decide whether or not he's earned his release as a finale. If the answer is "no", then either make him jerk off in another room, or let him out in the morning. The threat of "no" has to be credible, so do this at least one in three times.
CHATHLETE (regards chastity as an endurance test)
He sets a target. Key goes in a sealed envelope where he can get at it.
Extended games are easy with this one. If he reaches his target, consider making a special evening of it.
Bedroom games are harder. The best option is just to agree that chastity will be overnight.
CHAYSTE (doesn't really want out of the belt once he's in)
Key goes out of reach, preferably using time lock encryption software or the postal service.
Handle extended and bedroom games exactly the same way. It's important to set a clear time limit, otherwise the end of the lockup becomes awkward and anticlimactic. There's no reward to treat at the end - release is just coming home after and adventure.
(For male-orientated advice like this, take a look at my Femdom manual.)