What is a gpg key and why do i need it?
I get this nagging error when i install a fresh centos vps machine:
GPG key retrieval failed: [Errno 5] OSError: [Errno 2] No such file or directory: '/etc/pki/rpm-gpg/RPM-GPG-KEY-EPEL'
A key like this is used to sign and verify the packages you are downloading to be sure they are legit.
If the error you describe happens you should be prompted to download a replacement set of keys from the net. If not you can do so by hand.
Strictly speaking these signatures are not necessary - you can still install software as you have seen - but the security of your system is significantly reduced without their use.