When you say "key on engine off" am I correct you mean you turn the key to run, but not to start to crank or otherwise starting the engine?
You aren't turning it to just ACC by any chance?
We have a 99 ranger here, and I don't recall anything funny using the OBD2.
Does it connect when the engine is running?
If it isn't connecting even with the engine running, I would think bad contact in the OBD connector or broken wire either in the harness or in the OBD2 monitor.
When you say you know the OBD2 reader works, have you tested it, verified it working in another vehicle after this problem? Just cause when things break there is always the first time it doesn't work. I assume this particular OBD2 works with Ford products.