"Constant" Power is not determined by the key position, but is always receiving 12V (actually 11-14). As for the fuse, I only have a couple of suggestions...
1) Check under the hood, there may be an additonal fuse box.
2) Check the fuse that is connected to the constant wire that came with the radio harness. It should be a glass fuse. Some brands work without having a 12V + constant connected. It may have blown if the speaker wire hit bare metal while connecting the MTX Thunderform.
3) Take a test light or multimeter and see if the deck is actually recieving the constant power. If it is you may have some issues with your deck internals.