I think it is important to round-trip for at least two reasons:

1) Consistency. Other built-in exceptions behave this way, why should
KeyError be any different? Okay, technically 3 UnicodeErrors don't allow
just strings to be passed in (perhaps they should :-); but for common
exception classes, they all behave the same way.

To quote PEP-20: "Special cases aren't special enough to break the rules"

2) Intuitiveness. Decorating the string with quotes is unexpected; it
has already caused at least one bug and could cause more.

Ensuring intuitive round-trip behavior is an important enough issue that
is explicitly discussed in PEP 327 for the decimal type.

Why can't intuitiveness be restored to KeyError in Py3K?