I have not actually tried the large furnace yet but with the small furnace I have had no problem.
Put coal in as fuel.
Add ore to a quick key active item box at top of screen and activate that item by selecting it.
Move the mouse cursor across each pocket, each ore will fall into the pocket beneath the cursor in the trays.
Right click and the nugget is placed into the pocket.
Turn the furnace on.
6 minutes later the ores become ingots
Turn furnace off.
Remove the ingots.... I think that was by using F as you move cursor over each ingot.
Not sure why you are pressing E as I just use the right mouse button to add the ore to the trays.
After 6 minutes the ore will disappear from the furnace but the ingots will be there.
Place the mouse cursor over each pocket , press F and see what happens.