Staying in the same key for a goodly long time makes utter sense in a session where people are playing for their own amusement, and gets monotonous for a performance, for all the excellent reasons Sean gives, just above me. Another aspect is the cultural: the distribution of favored keys and tunes depends on what sort of session it is, and what instruments are likely to be part of the mix.

In an old time session, the norm is to stay in G, D, A (and related minor keys) and most of the tunes will be in 4/4 with a occasional waltz, hardly any jigs. There is a feeling of playing as a gathering of musicians, getting into a comfortable group together. The repertoire has developed with a few keys, and it makes it easier if you know "This Cool Tune" is in G - and it will be in G in sessions in all 50 states. Makes it comfortable.

In bluegrass, there's a different vibe, and taking breaks and showing off, doing things not everyone can (or keys), with a concentration on it being a collection of INDIVIDUALS. Not had as much experience with bluegrass players, but I keep running into ones who play tunes (or songs)I know in another key entire, just cause it suits them.

In Irish sessions, you end up with mostly the same keys as old time, but there you have the addition of flutes, whistles, button boxes and concertinas (sometimes hammer dulcimers in both) that have a limited range of keys. Where a guitar, banjo or mandolin player has only to capo, those players can't go out and spend a couple thousand dollars just to be able to play in the key of E. In an Irish session, you had best be able to play in jig time, and play the tunes in /4 with a greater variety of emphasis on the type of tune.

Though the OP was merely commenting, I have heard the same observation about continuity of key as a complaint, which is ill-advised, because it is an intrinsic part of that musical culture.

Joanne in Cleveland
(who is irked that the session a few blocks from here will "only permit" stringed instruments, and only on my concertina can I play tunes.)