Thanks for the question. I imagine you are referring to iCloud keychain? If so, the following resources provide great information about iCloud keychain and how to set it up:
My iCloud Keychain isn't working either, and I have followed ALL the instructions.
I have tried the "Approve with Security Code" method on the iPad - I get an "unable to approve" message. Under iCloud/Keychain I now have "Pending".
I have tried doing from the iMac end - no messages, just doesn't work.
It used to work - before v9.2 came along. Is this yet another "enhancement" that Apple have foisted on us?