As the final thing you should
Code:
Exit @ERROR

or
Code:
Exit $ChangeVLKey


So that any error is also preserved in @ERROR when the function returns.

Code:
Function ChangeVLKey($VOL_PROD_KEY)
  Dim $obj, $objects, $result
  ;Key is without hyphens (ABCDEFGHIJKLMNOPQRSTUVWXY)
 
  $objects = GetObject("winmgmts:{impersonationLevel=impersonate}").InstancesOf("win32_WindowsProductActivation")
 
  If Not @ERROR
    For Each $obj in $objects
      $result = $obj.SetProductKey($VOL_PROD_KEY)
    Next
  EndIf
  $ChangeVLKey = @error
  Exit $ChangeVLKey
EndFunction