Within the Matrix, keys represent tokens of authentication used to gain access to abackdoor or control of a device. The authenticator is represented by the bitting on the key, as illustrated when Seraph uses one to reach a corridor filled with backdoors in The Matrix Reloaded.
The Keymaker is an old program and his past is obscure. Faced with deletion or exile, he chooses exile. Consequently he becomes a type of program known as the exile and is referred to as such by the agents.
Kim says his character shouldn't have any freedom of choice, but he did make a choice by hiding along with the other exiles.
the Merovingian, who guards the imprisoned Keymaker, explains him as being a means but not a 'why'
The room is filled with thousands of keys representing different modes of activating higher states of awareness.
the Keymaker shows him how to escape to the next telephone - a device used to leave the Matrix