In my test case, yes I used Pegasus and no keywords weren't turned on.

 My question should be seen in a more general context, so considering other e-mail clients then Pegasus.

Looking for a way to better identify a mail I saw the function of keywords which
looked promising.
So I selected keywords and sent a email to my other account.
The keyword was in the header on reception, so far so good.
I replied and I saw the the X-keyword header had disappeared, not so good then.

So I am still looking for a system of follow-up, other then creating a lot of
mail folders and sub-folders.

Was the reply from Pegasus Mail and did that system have keywords turned on?