Confirmed. Keep-Alive is a mechanism to prevent costly TCP connection negotiation. Your PHP process/thread starts as normal and needs to allocate all resources as usual.
Regarding a high load situation, it might be wise to even keep the keep-alive period not too high: All connection requests compete for free connection slots of your server. If all slots are in-use by keep-alive connections, other users might not connect.
But, as usual, the optimal amount of slots and good keep-alive period depends on your specific load situation.