Hey!!
i've been doing some tests... im new to keyshot, but i what i did so far, and seemed to work so far (but not sure if good enough) is: i create the base mesh in zbrush, detail it... then... retopologize it with zRemesher, then... i use UVMaster to create the UV's, then i make all the polypaint and create and texture map - "New from Polypaint"... after this, i just export the .obj and import it into Keyshot... usually, the obj keeps the polypaint when you open it in keyshot, but when i change the material, it disappears lol but... then you can apply any material and import a new texture map, and choose to display it as "UV Coordinates", i think its that...
i really want to try the GoZ plugin for Keyshot, because, im not sure if what im doing its the best way... so far, i only did a couple of tests, but i havent rendered a full model with all kind of details and polypaint...