It already has a PIN programed in it, you need to have the pod in range to reprogram. The CVO Road Kings are a little touchy but to me it sounds like the PIN is programed and if you don't hit the left turn signal and put in the code the alarm will sound. So bring the pod in range, try the steps I mentioned above to reprogram, once complete take the pod out of range and try with your newly programmed PIN.
Quick note, when reprogramming the PIN, Have the Fob Present and in range press the left turn 3 times (not 2 which is 2014-up) then press the right turn 1 time. the pre-programmed PIN will appear with the first digit blinking. Use the left to increment digits and right to move to the next digit until complete.
Once programmed move the fob out of range. turn on the ing, quickly (within 2 seconds) hold both turn signals until the key icon flashes at a fast rate and a flashing dash will appear followed by four solid dashes (you can't just press both turn signals and release). press the left turn until reach the digit desired. If the to turn signals are not simultaneously pressed within 2 seconds of the ignition turned on the alarm will sound. Hope this helps and clears up your problem.
I know for my Road King it was a pain in the back side, 3 out of 4 times the alarm would go off. I sat and practiced a bunch until I got better results, problem was I did not consistently use it so it's still a pain.