Are you working with audio or MIDI? If audio, you need to specify the key under the Project menu
and the audio needs to be a Groove Clip
and have a native pitch specified in the clip metadata to follow pitch change markers. Decent loop libraries with Acidized files (same format as Groove Clip) will specify a native pitch in the metadata
except for drum loops, because you don't want the pitch to change. Note that REX files will stretch to tempo but not follow pitch changes. These need to be saved as Groove Clips or bounced to themselves to become standard WAV files, after which you can transpose manually.
If MIDI, AFAIK MIDI does not follow pitch markers. You need to transpose MIDI clips manually.