The problem is that just as much is lost when using PowerPoint between platforms. Windows does not like the formatting/fonts/colors or pretty much any details of the Mac PowerPoint. So, at that point you are better off using Keynote to save a PowerPoint file (as it does some translating and aids in making it compatible) or as a PDF. I did presentations using Keynote slides saved as PDFs and then had Acrobat on a PC running in fullscreen mode. I was the only presentation that day that didn't have issues of some sort.
Importing PowerPoint into Keynote is dependent on each file I guess. I haven't had many issues, and if anything, it is usually text fonts and sizes that need tweaking.
Keynote presentations with the slides saved as a PDF for your students is the way to go. As a student, I love when professors use PDFs because I know I am going to be able to open it up quickly with no problem. When I am sent Word, Excel or PowerPoint files, then I can almost guarantee formatting issues, no matter what computer I am using. PDFs also make it easier to search for certain terms afterwards. It is just as easy to create PDFs in PowerPoint as it is in Keynote, but I find Keynote to be much easier to work with as it gives me the freedom to do what I want.