So instead of waiting for ADS/Luxion to make a link/plugin, or waiting for .fmz files to be opened directly into Keyshot, I decided to explore the best workflow for this process.
The thing I like about this is that there is very little work to be done in Keyshot, you can essentially import your model, drop in an HDRI, maybe change the lighting scheme and you have a rock-solid render in a matter of seconds.
IMO Keyshot is much faster than Maxwell or V Ray and it is much simpler if you're looking for something out-of the box, but still produces stellar results.
Anyways, export your model as OBJ. The options to change here are...
Export Method > Plain Objects > Smooth : AS FACETTED
and check TRIANGULATE ALL FACETTED
When importing, the OBJ, set the UP ORIENTATION to Y, Materials and Structure > check KEEP INDIVIDUAL PARTS, and Group by MATERIALS.
The only thing to look out for here is that your formZ model should not have shared materials for objects that are to be different textures. That is, don't set the same plain white texture for a brick wall and grass if you are not going to use different textures in Keyshot.
After this you can keep the rendering or use any of the preset materials to improve accuracy. Transparency doesn't translate, so these are best replaced within Keyshot.
Not sure if this will help anyone, or maybe it'll give people another reliable option for a renderer with formZ.