Have you tried importing in into any other software. Or maybe viewing it on a html page.
create a text document in tghe same place where your gif file is located. name it test.html paste the following code (replace the color to the color you want the background to be, and the name of the gif file.):
<*html>
<*body color="green">
<*img src="mygif.gif">
<*/body>
<*/html>
Remove the "*" from the code above.
Save the file and view it in your browser.
If you see the transparent gif then most likely its an issue with keynote and not CTA.
In terms of Camtasia, as far as i know, it doesn't support transparent video either. But it does have a chromakey option so maybe you can use that to make a solid vid into a transparent one.

Ibis Fernandez | (available for hire)
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Professional Animator, Filmmaker | Creator of the highest quality (modular) G2 rigs for cartoon animator and developer of Toon Titan and Puppet Producer
Author of Flash Animation and Cartooning: A Creative Guide
>>> be sure to check out http://toontitan.com for professional grade assets, templates, and custom tools for Cartoon Animator and more.