In all honesty I think it depends on how seriously you want to take things. I reckon 90% + of punters in a club really wouldn’t have a clue whether the DJ is mixing in key, nor would they care.
For mixes for home listening, it’s different, but still it depends on what you want to do and how much time you have to dedicate to a mix. There are posters on here like Damo and Si Langham (not seen him for a while) who will put out professional quality mixes which are better than most DJs do. I’m using these 2 as an example purely because I listen to their mixes the most. Jamie was another, alas he seems to have moved on.
I think.key may ‘make’ a mix a lot more than break a mix so nice to have if you can do, but I’m bollixed if I’m going to start trying to learn this now