It boils down to two conceivable reasons, both equally likely;
- The Agents are largely (or wholly) unaware of 'THE PLAN' and are simply acting on their instructions.
Although Smith (who appears to be the Senior Agent inside the Matrix) seems to have a wider awareness of the history of the Matrix as well as a solid connection with the outside world, part of the conceit of the Matrix trilogy is that "the One" and his acolytes need to be unaware that Zion is simply a system of control until he meets with the Architect.
If the Agents start letting the heroes proceed unchecked, it would immediately give the game away that something was wrong. Junior Agents therefore follow their instructions to cleanse the Matrix of imperfections like exiled programs, regardless of the potential consequences. The system relies on the strength of the One to overpower any obstacles this might present.
It's also quite conceivable that the Oracle would simply come up with a backup plan if the Key Maker dies; "You must now find the Key Maker's Apprentice..." or some other nonsense.
- Killing the Key Maker won't actually result in his destruction
It is only Programs whose function is no longer required that are "returned to the source" after their physical shells are damaged beyond repair. As we see from Smith (and the Oracle and several of the Agents) if a program still has a purpose then it is perfectly possible for them to be reconstituted into a new body.
Arguably, the Key Maker's usefulness only ceases once he's led the One to the Architect. It's possible that he wouldn't die if you killed him. He'd simply pop up elsewhere with a new body and a new plan to infiltrate the Architect's lair.