Don't know if you have tried this, or just tried importing via KeyShot. But you have to bring your model directly into KeyShpt via Alibre. With your model open, go to the render tab and select render. It should open keyshot and the file will come on-screen in keyshot.
Did you download the Keyshot for CAD from the Alibre downloads site? Licencing should be automatic if you have an active Alibre license. Have you rebooted your machine since install?
Simon is correct - an Alibre Design Expert licence should activate Keyshot for Alibre.
Keyshot must be installed AFTER Alibre has been installed and activated. Occasionally we see issues with environment Variables that need to be addressed where other products have previously been installed.
If offered an update during Keyshot install, don't accept it - wait until after Keyshot is installed to check for updates.