He was set on most of his shots originally. He is turning, fading, and not setting his feet now.
You may be right, I'll admit I don't pay that much attention to shooting mechanics. My memory of rookie-year Keegan though is that he shot a lot of movement threes where we was inevitably turning and fading away to one side or the other has he rose up to shoot and he's had that one foot in front of the other stance and slightly flat shooting arc since college.
Maybe it's because I've seen so many guys with perfect shooting mechanics fail to capitalize on them at the NBA level (Ben McLemore and Jimmer Fredette spring to mind) but I'm inclined to say that a player who has already shot 41% on 500 three point attempts over the course of a season should keep doing whatever they're already doing. By trying to "fix" things you may just force that player to overthink their mechanics and actually make their shooting worse.