It's a giant step forward. As all new habits, it takes time and a bit of effort to learn the principles.
Think of versions as several totally transparent onion sheets like those used to draw cartoons. Every change to the drawing is saved automatically to a new onion sheet (version). After a while working, if you are not satisfied for any reason with your work, you may want to go back to work it out better from certain point. What you would do is to just search for the part you are interested to improve in the deck of onions sheets and, once found, start working again from that part again, isn't that great?
Your work is always the same, your file is always the same, well, from your point of view. You don't worry about things like whether it's a base file or it's the last really real document or just an impostor. It's the document you've been working on and its version is the last one saved by the computer since you left it.
When you save a version, you explicitly are saving a point of reference, which is helpful when you're happy with your work so far and that version would be an excellent point of reference to go back if something went wrong later.
I assume you don't have Keynote '09 (5.2) in which saving versions has been remove or changed for "Duplicate" and some other handy options like "Restore to (versions)", "Move to... (iCloud)" and "Rename" have been added to the File menu. So, don't complain, things get better... or worse... depends on you.
I hope this may help.
I feel for you. I've been using keynote extensively for a new job and the loss of "save as" etc. is hard to get used to. And I can't say that I've completely figured it out. My biggest problem is when I want to throw something on a zip drive and have to make a duplicate and then save it to the external. And it's not just me. Others that I work with are similarly confused.
I believe you can turn all this off by disconnecting from icloud but I've been trying to get to where I can really take advantage of that and it has a similar learning curve. I think it will finally all work out but it does just feel like they threw us into the deep end.