I think that there is some kind of problem with the step importer of keyshot 2.
I did some tests using a demo of hypershot and keyshot 2
in hypershot, the model importation works ok, only one model, and imports the colors from solid edge. Also, you can apply materials to a single solid edge part or diferent faces if you painted this faces in another color using solid edge.
The file *.bip generated have a size of 20 Mb (open and save, without changes)
In keyshot 2 the model importation in not working correctly. Imports 2 models in one scene, everything in in color gray, the colors from solid edge are not visible. Everything is linked together, so I have to unlink all the parts to apply diferent materials to each one.
The size of the *.bip file is about 44 Mb (open and save, without changes)
With a big part, 350 Mb in hypershot and about 1 Gb in keyshot 2....
I don't know what is happening.