When you look at the main screen of ThumbsPlus, there is a toolbar right above the thumbnail listing. There's an icon in it of a yellow lightbulb. When you click on that, is 'keywords' shown as 'On' there as well?
Before proceeding, could you go to Options | Preferences | Thumbnails and turn 'make thumbnails automatically' off, if it isn't already off?
I think you already know and confirmed this, but just to be 100% sure: When images are on a NAS, there can be multiple ways to access them. For instance, by entering a UNC path, or by going through the network neighborhood, or through a mapped drive letter, or even by IP. With ThumbsPlus, it's very important that you always access your image files the same way as when you made their thumbnails. If you do not (and 'make thumbnails automatically' is on), then ThumbsPlus may show you thumbnails that do not have any keywords even though you have entered them and they are in the database. It's just that ThumbsPlus does not know that \\MyNas\Data\Images\Kids.jpg is the same file as P:\Kids.jpg. To me, this still seems to be the most likely explanation for the problem that you are seeing.
If that is not it, you could try this: Go to Edit | Find, press Clear All, set 'Restrict search' to 'Entire Database', go to the Keywords tab and press 'build list', then double-click on a suitable keyword and press OK to search for it. When one or more files have been found, open one in the viewer/editor and do File | Go to folder. This should take you to the folder where the file with the keyword was found and now you can check if the other files there have their keywords, too.