When we buy the bridge do we get KeyShot?
This is the way I understand it – when we buy the bridge, we get a full fledged version of Keyshot. 
The real deal. Only thing is, the version of Keyshot we get will only work with the bridge to Zbrush.
Which is totally ok with me. 
As for your other questions, I’m not sure…
You mean, GoZ something from another program to Zbrush, then to Keyshot? I don’t see why that wouldn’t
work, but I’m not sure.
As for baking…dillster, I think, told me that Keyshot would not export maps.
I hope this helps! More than that, I hope everything I wrote is correct! 
Edit: Under normal circumstances, no way would I invest in Keyshot. It’s just not practical for me to pay
that much for a render program. But with the bridge being $249 or $259, I forget which (at intro)…well, that’s almost too good a deal to pass up. 
Edit II: I have the Keyshot demo, also – and my feelings about it match yours. I’m as excited about
the Keyshot deal, as I am about 4R7. Almost.
OK, maybe I got my ducks in a row now.