sigh...while Keynote is an amazing product, the Apple store workers tend to over hype it, to the point of making it sound like it has EVERy feature of PPT, when it's really missing a ton of stuff still. Visually though, I have to agree, it makes PPT look like a toy.
That said, I'm trying to figure out what exactly your process was, and what did and didn't work. I looked up the specs on the 500, and it appears that while you can shoot in true DV format onto mini DV tape, it also shoots Mpeg4 onto the photo card. Is this what you shot in (as opposed to DV format onto tape)? If so, I'm trying to figure out how you even got it into iMovie as opposed to iPhoto, which is what you use to import movies from a media card. Also, I don't understand your comment on edits getting lost.
Next, your use of the term slide show is confusing, but I THINK what you'd like is to see the movie sitting there on a poster frame until you want it to play, and then click to make it play. You can do this to an extent, but you have to work around a few missing features in Keynote. Keynote STILL won't let you leave the poster frame showing on the slide and then have the movie play on a click...you'll actually see NOTHING until you trigger the movie as you have to add a build to the movie, and until it builds, you won't see the thing. The work around is to grab a frame of the movie and paste it onto the slide, then build the movie in right on top of it.
I hope that helps. If you can give more details on what you did and what you TRIED to do, and what you want to end up with, I can try to help you figure it out.
EDIT: ah, I see this in a review "Playback of media from the card and the tape is available in playback mode, as is recording to a VCR or a digital video (DV) device using a FireWire cable." which means you "should" be able to import into iMovie. The real draw back is you're working with mpeg4 and not DV...and Mpeg4 is REALLY compressed, not a good format to use if you plan to edit it as you'll have to decompress and recompress, losing quality (DV is also compressed, but not nearly as much).