If I wanted to save money on Horsham-London journeys, I would not buy weekly season tickets and would not use KeyGo.
With season tickets, ones which last a month or longer cost less per week than weekly ones (annual ones cost less again, but the holidays probably mean they're not worth having). For instance, a season which lasted from 2nd September to 4th October would cost £537.30, or £107.46 per week. They're available on the Southern web site (amongst other places) if you want to look at prices for other dates.
With day tickets, the tricky thing is that there are plenty of tickets which cost less than a Horsham-London Terminals anytime day return, but are equally valid for a return journey between Horsham and London Victoria at peak times.
I won't mention any examples now as you never know who's reading, but my point is that you could choose to use a cheaper ticket, but KeyGo can't, and so you could save money by avoiding it.
Whether or not a season ticket is cheaper than day tickets depends on how often you travel into London, and how often you arrive before 9:45 on a weekday. Courses vary a lot, so I wouldn't like to guess.