This page refers to older versions of Quicktime and Keynotes (around 2006), so it is outdated!
Including movies and sound in Mac Applications like Keynote is done using Apple's Quicktime technology. One consequence of this is that you'll be unable, by default, to play more than one sound file simultaneously in Keynote. Strangely, to modfiy this behavior and allow playback of several sounds at once, you have to change a preference in the Quicktime Player Application.
Yes, you'd expect that this should be in the global Quicktime panel in System Preferences, but it's not. It's in the Preferences of Quicktime Player, the application. What you select here affects how sounds are played in Keynote!