As with everything, nothing is perfect. If you wish your audience to be able to click links, they will need a working copy of your Keynote document, which then is editable.
Also, links are always tempermental. The only links you can share with your audience are navigational links to slides within the presentation and links to URLs. Links to other Keynote documents must be on the same hard drive. In the first case, (links to slides) your audience may not know when or why to jump between slides and can easlily get lost and lose the message. In the second case (links to URLs) your audience would need to know how to get back to your presentation. Some secrets are best kept behind the curtain so the presenter can have his/her own magic.
I suggest that if you need your audience to see things that you would jump to in a certain order, build your exportable presentation with all the jumps there as duplicate slides as needed and make images of websites and add the URL address on the slide so they can open their own browser and go there.
My full agreement! KISS as possibly,
this one project was for foreign people to look for pictures and a very short description (a file of pictures structured just in one direction with a few categories) and to jump sometimes to a indexpage, or from an indexpage to several entrys (the categories) of the file.
But for a more complex presentation nearly nothing is to added to your words.