Keywords no longer carry much weight in search engine placement. They've been abused so much in the past that search engines nowadays rarely use them in ranking.
The "keywords" you referred to on Microsoft's Knowledge Base pages are for their own site's search engine recognition for the subjects the page covers.
A bunch of keywords shoved at the top/bottom of a page do look stupid, so while there is unlikely to be a automatic penalty with the SEs there may well be a penalty from the more savvy visitors.
There is no real need for it either as each page should only target 2 or 3 phrases, making this kind of keyword stuffing superfluous.
This has infact helped ranking for searches with the town name with other KW'ds. I don't see why it wouldn't help with other kw'ds. If you notice I did only say "help", my doubts in competitive markets would have much of an impact.
I assume that when GWRMan refers to keywords, he does not necessarily mean the contents of a keywords meta tag, but rather the words and phrases that potential visitors will search on.
I've had a little success with what he is proposing. But it only works if the keywords are presented in a friendly human-readable form, not just a raw list of terms.
As an example, see the "summary of services" at the bottom of the page at
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