Yes, you're right. Since they specified that you should form a question ("make a question" doesn't really collocate well in English) the answer that they want you to give is clearly the first one, but you're quite correct that you could also form a statement by using the same words in different order.

Both are correct but only the first reports a question.

Both answers are possible, but the first one makes more sense.

The officer wanted to know if I had the keys. - This is the most likely scenario as officers typically need to verify access with keys. The officer had to know if I wanted the keys. - This scenario could be possible if the officer was offering keys but needed to confirm your intent. Both sentences are grammatically correct and convey different situations.

Both of those are possible but 1 is probably the answer they want.