Your code is wrong
You call:
Dim Cryptoki = New Cryptoki("c:\Program Files\SafeNet\LunaClient\cryptoki.dll")
and later
Cryptoki.Licensee = "...my Licensee..."
Cryptoki.ProductKey = "...my ProductKey"
The license message appears when you call the first one
You must set the license before any instanciation of Cryptoki class, i.e. before:
Dim Cryptoki = New Cryptoki("c:\Program Files\SafeNet\LunaClient\cryptoki.dll")