The later keen games are legitimately good platformers, even in comparison to some of the best of the genre at the time like Mario 3. The levels in keen games are enormous and way bigger than a NES could handle or even think of loading in its tiny RAM. I do agree the first few keen games are pretty luke warm compared to consoles.
I don't think they are nearly as good. Mario Bros 3 apparently inspired Keen, but Keen was always very slow-paced, because of the one-hit death system. You also needed to defeat enemies with a gun, which was less risky and fun than jumping on the head of enemies like in Mario. Ammo was also limited, which again rewarded slow and careful and boring gameplay. The slower gameplay did fit the few puzzles, but those also weren't too great. I didn't play Keen 6, but I assume it's about the same as 4 and 5.
Just à nitpick, consoles at that time didn't load levels to ram but rather the part of the level you're seeing. You could access rom as normal memory (rom banks considerations aside) so everything was already accessible (sometimes compressed)
You needed to store the state of the entire level, like what enemies are alive, what treasures have been collected, etc. and that turns into a non trivial amount of stuff to store in RAM (only about 2kb on the NES!) for large and complex levels. You can't store that stuff in ROM since it's changing as the player progresses. A PC at the time could guarantee 640k or more of RAM alone.
Like I said in another reply that's just for drawing tiles, but it has to store level state (what enemies are alive, where they're at, what items have been collected, etc.) in RAM and is severely limited to less than 2kb of data there. A DOS PC has 640kb to multiple megabytes of RAM--you can have thousands of enemies, items, etc. with tons of room to spare.
