Hi xx97,
I've been testing a few scenario's, within the Execution Plan I'm using "Use projects 'On Error' property" and each time an unexpected pop-up occurs the event from "OnUnexpectedWindow" handles this successfully for me.
I've been using the following video guide on Dealing With Unexpected Pop Ups
and set up the OnUnexpectedWindow and similar to your steps;
1. Record a keyword test to handle / interact with the pop up window.
2. Add an event control for OnUnexpectedWindow
3. Add keyword test under OnUnexpectedWindow script.
There was no additional steps take to implement the OnUnexpectedWindow, if you can share any screenshots of what you've configured it may help with troubleshooting the issue your experiencing.
Kind Regards,
Shane