Paul,
While we have never had anyone re-enter the room after taking a key, It has happened in our town.
Most people will just throw the key away if they are too ignorant to return it, which can be a problem if tag is still attached.
We have however occasionally changed locks to separate rooms if keys have been taken.
This solves the problem of not having master keyed locks and it is doubtful if a guest would try other locks if the tag has a room number attached.