What exactly is your goal in inserting a watermark?
Is it for the prupose of protecting your work? or just the appearance of an image?
You can add opacity to an image to create a watermarked affect.
But if you want to protect the content, do the same thing, but create screenshots with the watermark imposed above your content, and insert the screenshotted material as your presentation.
Hope that helps!
There are many ways to create watermark images, one example: if an image has a single colour background use the instant alpha tool (format > image > instant alpha) to remove it, as in the white background was converted to a transparent background so that the green box shows through:
But if you want to protect the content, do the same thing, but create screenshots with the watermark imposed above your content,
This wont protect the presentation at all, as you just described, anyone with the Keynote file can copy the complete presentation by using screen grabs or copying the file in Finder.
The only way to protect files is to never give it to anyone.