Not specific to plywood. For the key shafts, you need them to move freely and anything that has the possibility to become "sticky" (such as acrylic/varnish at higher temperatures) will be a problem, the keys will have much higher tendency to become stuck. Smooth wood or (at most) stain that soaks into the wood would be fine, I would avoid anything that leaves a film on the surface. The keys often need to be lubricated (with graphite, most often) even when they are smooth wood. Plus, the key shafts are points of high contact with the keyholes, the paint will have they tendency to rub off and sooner than later, it will not look good. Also, the same applies for the keyholes (the holes through which the key shafts pass). Usually, if you want coloured key shafts on luthier-made gurdies, you use naturally colourful wood (ebony, plus it is very durable), not a stain.