In preparing for a recent presentation, I wanted to address this issue by documenting a process that more seamlessly moved between Keynote and a browser window.
Basically, it just doesn't feel professional to me.
Yes, you can always escape out of Keynote and go directly to your desktop, but this process exposes your audience to any presentation notes you have on screen and requires you to move around windows. One issue I encounter when presenting in Keynote is how to seamlessly move back and forth between my presentation and a browser window.