If I have a NEF open in Capture NX2, edit the keywords, and then "Save as..." a JPG and/or TIFF from Capture NX2, both the NEF and TIFF show the same keywords and IPTC data in PM 4.6.7 under Win Vista 64.
If you are using PM, though, it is easier to edit the keywords in PM. You can edit them in one file or the other, then copy and paste into the other. If you are viewing the JPG and NEF joined, the changes will automatically be reflected in both.
You also want to make sure you have the PM preferences set for maximum CNX compatibility. Attached is a screen shot of my settings.
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