In SteemConnect, your keys stay in your browser, too. The difference is that each time you navigate to SteemConnect, you download the code to be executed in your browser. That opens up the possibility of a hacker taking control of the SteemConnect site allowing them to get users to run malicious code in their browsers. The downloading happens only once in KeyChain and it is thus much safer.
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Thank you for the clarification on the differences.