Well the fact that a lot of the models out there on platforms like 3DSKY and turbosquid are made for 3ds max with Vray materials it would be really handy if there was an easy automated way to convert the vray materials to standard materials so its even more easy to use this models with Keyshot.
You are right its not Keyshot's responsibility but would you not try to make using your software as easy as possible ?
I'm fully on board with the idea of how nice it would be to use those downloaded models in Keyshot. I have a bunch of them sitting on my harddrive that I'd love to use, but no longer can for exactly that reason. I wish more uploaders there would consider uploading in a more universal format.
I'm sure the Keyshot devs would love to be able to load/convert Vray materials, it would be a big benefit for them. But this is the world of closed-source software, it would be up to the generosity of Chaos Group to make such a translation possible (or possibly, legal). After all, if you enable such a translation to a competitor's software, you run the risk of losing customers. That's capitalism for you :/