Keyloggers would fall under the category of PUPs (Potentially Unwanted Program) and by default PUPs aren't scanned for. I believe because many such tools (can be used for good or evil) would be considered PUPs and the majority of users wouldn't know what a PUP is if it bit them.
You can however, enable the option to scan for PUPs in the on-demand scans and for the file system shield, settings.
That may well detect the keylogger as a PUP, it does however require a degree of knowledge of what is installed on the users system and what it does.