I can confirm this.
I can't quite work out where the fault is, though.
For example, if I take a picture from my Photos and make the same (approximate) adjustments in Photos.app and in Keynote (e.g max out the exposure), the end image in Keynote looks similar to what Photos gives me, although the exposure is very washed out while I'm dragging the slider. Therefore I'm inclined to say the problem lies with the slider, rather than with the final result, but it's inconsistent (and the different/additional controls in Photos.app makes a direct comparison hard).
Either way, it seems like a bug to me:
Feedback - Keynote - Apple