Rhino 5 builds extrusions as simplified shapes that don't seem to show up in Keyshot. Just explode anything that shows as an 'extrusion" when you select it, rather than being called a "polysurface" in properties inspector, and it should import just fine.
You can turn that off in Rhino 5 so that it doesn't make those types of objects anymore. Took me a while to figure that one out!!