Zbrush sends the visual appearance of any active or embedded material as part of the polypaint texture map to Keyshot. If you have a material with a greyish appearance active, the object will have a greyish appearance in Keyshot in order to try and recreate the Zbrush appearance.
Holding ALT while dragging a material ball in Keyshot only changes the surface properties of the object. It will leave the texture alone (assuming the material type supports it…some do not.), which is where that color is located.
To avoid any material influence at all, apply the flat color material in zbrush before sending. If you want the object to interact with the Keyshot material colors, enable the “blend with color” option in the material properties panel in Keyshot.
Note that there are sometimes issues with getting a material to update in keyshot when sending again from Zbrush. I find I sometimes have to switch on “group by materials” in order to get Keyshot to update it.