I think I found a bug. I still don't understand how, but sometimes my K95 is not detected by the CKB application, therefore, it seems the configuration is not applied. I tried closing and reopening again the app, but still no luck.
However, when I go to the keyboard settings, and I select "Modifier Keys", I can see and select the K95. So it seems to be detected by the system but not by the CKB app. :sigh!:
I'm running a mac-mini with El Capitan 10.11
Edit: I think I found a way to fix it. Go to the Activity Monitor and force to quit. Then, the next time I start the app, the keyboard is detected.