Using Grab or any other screen grab application will indeed copy the background color behind the text. In some cases that won't matter, but if you have a gradient background color or something more complex than a solid color, it could be an issue. Also, if you have another object behind the grabbed text, the background will also be visible. Instant Alpha can help, but we can detect flaws in text more than in other graphics, so the results may be disappointing.
If you do use the screen grab method, if backgrounds are not a problem, and your text is being scaled up, then use this technique with the text created in Keynote in its largest size, and then copy and paste accordingly across the Magic Move transition. Since you are creating bitmapped images, text will look a bit chunky if scaled up too large, but scaling down will look fine. Keep in mind you can "reverse engineer" a Magic Move (i.e. create an object in the second slide, copy and paste it into the first, scale down, etc.).
Or you can avoid all this work and just created the vector-based text from another app, as I outlined in my previous post. All issues of backgrounds and text scaling are eliminated.