Just reporting that I've had this issue as well. Completed the raid twice now in the last two weeks, lost keys both times. Only have one character that I run it on. Both times after completing the raid some others in the fireteam switch characters to cache in the keys. We join in on them once they get logged back in, I'm guessing that's when it happens. Or just when I go to orbit or the tower first. I've never signed in on or started another character.