I would class this as an undocumented system feature.KeyGo doesn't deal in period return fares, it would be singles instead.
The question remains of exactly when the KeyGo day starts and ends. My guess would be that it changes over at 04.30, but I'm not about to set out for a journey in the small hours to find out!
However, the lesson from this is that KeyGo is not suitable for all situations, and this thread highlights one of them.
A behaviour that occurs but isn't officially documented anywhere for users to read about.