http://www.endless-sphere.com/w/index.php/Contact_Types_(applies_to_all)
Keyswitch is a wiper contact, and you are the driving force behind the motion. PRetty easy to put a lot of force into turning the key, vs the little welds it makes.
Relay is a pressure contact, and only spring force of the contact tab is avaialble to pull it away. So once it welds even a tiny bit, it's done.
Same reason Andersons and similar wiping-contact connectors can be used for fairly high voltages and currents and still be unplugged and plugged in--when the tips touch (or are being pulled apart and just losing contact), they may weld momentarily, but you are still pushing them together or pulling them apart, and the force applied is pretty high, usually enough to overcome any little welds.
Plus the wiper contacts weld at the edges, not at the usual final contact points, so they tend to keep working contact areas large enough to keep operating, much longer than pressure-contact switches or relays, which only have a single contact area and the weld happens right there, damaging the working contact area itself.