I've been trying to tell people that this happens, but all they want to do is act like I don't know what I'm talking about. The CycloDS is very particular about what microSD's it wants to play nice with. I had the exact same issue with a Transcend 8gig Class 6. The Class 6 would boot games, BUT the enhanced menu would take forever to come up or not come up at all, it wouldn't allow a firmware update to complete, Ultimate Mortal Kombat wouldn't boot unless I deleted the save (WTF?!), and occasionally the first-time boot of a game (where it creates the save file) would stick on "loading" until I re-booted.
Now, my Transcend 8gig Class 4 works perfectly fine and NONE of those things happen, it just didn't like the Class 6. I've had people say they have the same Class 6 card and it works fine in their CycloDS......don't know.....it works fine in my cell phone, but acts all flaky the CycloDS.
It's my understanding that you could buy another one of the exact same microSD you are trying to use and it WILL likely work, but the one you have now just doesn't. Nobody has ever given a satisfactory answer as to why this happens. I can only guess that there is something about the CycloDS that makes it extra picky about microSD's. Possibly the microSD isn't 100% perfect or something....who knows. I have heard that the same card that won't work in the Cyclo worked fine in a DSTT or EDGE, so it is definitely something just up with the CycloDS memory card handling and it seems to be extra picky if the microSD i=may not be 100% perfect.
If you can, send the Kingston back and get another, even if it's just a replacement for the same thing. The next one will likely work for you.