Well it is confirmed, if a file is marked as read only on your computer and copied to the Kindle it will have a "keep" tag.
I tested this by opening the properties for a ebook I had not had on my Kindle and changing it to read only and then copying it to the Kindle. It did have the "keep" tag. I deleted the ebook from the Kindle, removed the read only flag from the ebook on the PC and then renamed the file and copied it to the Kindle again. No "keep" tag. (I renamed the file to insure that there were no lingering records on the Kindle that I didn't know about.)
I am not sure why changing the properties on a ebook already on the Kindle didn't remove the "keep" and an attempt to change an ebook already on the Kindle to read only did not add the "keep". It may when next the Kindle re-indexes. I'll let you know.
So if you would like to have specific ebooks on your Kindle2 marked "keep" you can change them to read only on your PC and transfer them to your Kindle. Not sure how useful this will be. (And there seems to be some confusion about changing the read only flag on books already on the Kindle)