Definitely do it for the story moment.
(Below we added a section describing how this actually ended up playing out live.)
Here is why we decided to allow this situation to happen:
It is the final moment where PCs reach the very bottom level of the Tomb with all the keys. Suddenly, one of the PCs fails a Hold Person roll. One of the keys is stolen by a hag. The Hag cackles hideously as she turns Ethereal and the PCs watch as what feels like all their hope is lost. It is an epic story moment. According to Joseph Campbell, this moment is often part of the “Hero’s Journey” in myths. As a result, it seems like a terrible shame to prevent players from experiencing such a powerful, potentially mythic, moment of the story. But then how does the story continue?
Here is how we decided to solve the story issues that emerge:
For our particular game, the PCs had freed the Keshma the Dao. Withers, the tomb warden with all the crawling hands, is still alive. (He is even described as someone who flees rather than fight to the death.) Keshma is listed as knowing details about the Tomb. We decided that when the key is stolen and the PCs stand around stunned and unsure what to do, Keshma can say she knows that the Tomb has a warden who resets the Tomb. She has seen him wander the Tomb. He resets the Skeleton Keys as well. Thus, she can say she knows that the Hags must give the Keys to him to reset the Tomb. She can say she is certain his office is on the same level as her because she was carried in the bottle through it at one time but isn’t certain where exactly on that level. Withers will have the key in his office.
Additionally, with regard to their opponents...
By allowing the key to be stolen, it means that the Hags can work their hardest to actually try to do what they would try to do if the situation were real and they worked for Acerak trying to raise a new God. (i.e. They would practically give their lives to steal a single key from the PCs to prevent them from getting to the Atropol.)
The result is that this solution ties into the actual lifecycle of the Tomb. It gives the players more backstory to discover. It gives them more of the Tomb to experience and perhaps most importantly preserves a potential “Hero’s Journey” story moment.
As an addendum, tonight I ran the game where we used this ending.
Here is how it all played out and how the players responded.
The players started putting the keys into the door as they got them. As they finished getting the last key. The Hags all appeared in front of the door. The players then realized the Hags were going to steal them but it was too late. Only one character got an action before the Hags each grabbed a key and went Ethereal. One character went ethereal to chase the Hags but it was too late. The Hags ran off cackling.
One character who failed to catch them said, "that's it. They are gone." She said it with finality. The players appeared stunned. They rapidly brainstormed thoughts on how to get the keys back but couldn't think of anything. The players seemed a bit shocked as the futility sunk in.
We didn't make the players suffer too long. We felt like if we waited too long they would truly lose hope and feel disconnected from the game. It felt like I needed to connect the hope really quickly to keep the story moving. At that moment I had the Dao step forward. (A player had released her from the bottle.) The Dao said she knew there was a caretaker, Withers, who was in charge of resetting the dungeon. She said that the hags would eventually have to give the keys to him. The party hid out for several hours waiting until they thought the keys might have been given back to him. Then they stormed his office and killed Withers. We tried to keep this backtracking part quick. Finding the keys they returned to the room where the hags were waiting. The Hags tried again to get the keys but this time the party stayed close to Dragonbait to get advantage on their saves. After killing two of the hags the last bargained for her life. Though it may not have been this incident itself, as we finished the session, one of players said that the session was "awesome" and the others on the discord channel said they agreed. So at least anecdotally - it didn't seem to detract from the adventure - and even perhaps enhanced it.
There was a very slight sense of decreased momentum around backtracking so the takeaway is when taking this approach is to keep the backtracking very short if you want it to be successful.