Testing a furnace transfer switch, watt meter shows extremely low usage
Well, from the tests you ran (see comments above), your setup is correct.

The Kill A Watt EZ should show a reasonable reading, BUT it appears that that kind of device requires balanced current.
So, because the furnace neutral current is not flowing through the Kill A Watt, it does not compute a valid power based on the current and voltage it does see. (Note that the meter is seeing a "ground fault" from its perspective.)

EG:
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This is an apparent limitation of this model of meter; your setup is correct.



To determine the furnace's power draw, if you don't trust the label plate :), and, since you've access to the wiring at the furnace, measure the current and voltage there with standard AC meters. 

Multiply the voltage and current to get KVA.  The KVA will be slightly more than the actual power used (thanks to power factor), but your generator needs to be able to supply about twice that KVA anyway (allows for motor start).

Since your furnace has a 1/3 HP blower (max 250 watts, steady state), your Honda 2000 Watt generator should be just fine to power your furnace.