I tried just now and as far as I could tell if takes the IPTC just fine, but not the keywords I tagged it with in PM. I don't know if there is some setting I could change or what not but thats what I saw.
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I don't have Lightroom, so I can't test this. However, if LR takes the IPTC data like the caption, it should also take the IPTC keywords -- it's just a comma delimited string. It may be that LR has its own internal set of keywords that isn't compatible with IPTC.
Here's a test that I would like to see: apply keywords to a RAW file with Photo Mechanic. Use Lightroom to process the photo, then export a JPEG. Open it in Photoshop and check all the metadata -- are the original Keywords still there? (My working hypothesis is that they are still there.) For more insight, add some keywords in Lightroom, and check an exported JPEG again. Are they different? Has LR overwritten the IPTC keywords?
Does anything change if you convert the original RAW file to a DNG (which embeds the metadata, instead of using an XMP file)?
It would be nice if all of these applications could play nicely together. Alas.