A client email and subsequent phone call yesterday advised me that they were "butting their heads into a wall" using the Keynote Feature with the linked files. Scott Davis, with Autodesk, was able to respond to them earlier than me because I was preoccupied elsewhere, thanks for being so responsive Scott!
The bottom line is that it is not possible to generate a keynote legend that includes elements in a linked file. I assume that this is because a keynote legend is able to "sense" what keynotes are in use on a sheet's views and generate the list of keynotes accordingly. I therefore assume that the linked file does not communicate this information to the host project. The only indication that this won't work or isn't possible is that the "Include Elements in Linked Files" check box is disabled in the schedule properties dialog.
The suggested workaround is to generate the relevant keynote legend in the linked file itself and then either capture the result as an image or dwg export which can be added to a view in the host project. Alternatively this documentation should/could, if possible, be done soley in the linked file instead. Unfortunately the manner in which clients link files together varies and it may not be a reasonable suggestion.
The request/issue has been logged with support accordingly but if this is a concern for your firm too it would serve all of us if you share your concern with support as well.