As far as I can determine, or have been told, it's NOT a limitation in Keyshot, the problem is Geomagic. The part is all one piece with properties same throughout, and I do not think surfaces come through to keyshot with names. So Keyshot has no handle to work with.
Geomagic cannot make different surfaces different colors etc, without desperate workarounds that do not export. I believe in other software, such as Solidworks, you CAN separate surfaces, and that can go through to Keyshot. GMD has a name for each surface, but does nothing external with those, nor does it allow color assignment, etc by surface.
GMD is way way behind the curve on most of the connection to Keyshot, they cannot have used it much or understood it well when they did the integration..... one huge problem as an example: By 3DS' own admission, the "bip" file uses the file name as the material name. 3DS did not understand Keyshot when they made that decision. You can specify different materials in GMD, but the bip file ignores the materials, and inserts the file name.
HOWEVER, you SHOULD be able to export the material to Keyshot, and Keyshot gives you the option of using the part or material as the tag for material, color, etc. The right material file, and you can have identical pink green, purple, or whatever elephants if you want them. Except that GMD doesn't allow that the easier way, nor does it allow assigning material by instance.
EDIT: The big issue with this is that any time you want to change material, you must do it thru Keyshot, and cannot do it automatically by reassigning it in GMD. So you must manually change, in Keyshot, every individual item that has been altered, every time a new bip file is made. BUT, if 3DS had done it correctly, you could, IN GMD, change to any other material which you have named and have identified in keyshot's materials conversion file, and the change will be automatically made by Keyshot, no laborious manual editing required.
This is all of a piece with the whole part name vs file name vs part number argument.... GMD uses the part name as the file name, and tangles the part number in there too. It's a mess, and probably cannot be untangled without making a new and completely incompatible version of GMD. All the good choices end up sucking.