When assigning keywords to an image they seam to remain only in Lightroom.
They go straight into the catalog (.lrcat database file) when first assigned, and won't be visible anywhere but Lightroom. If you save (xmp) metadata, then they'll be there too (in xmp metadata - either embedded in original or in a separate sidecar file), but Windows probably won't be able to read them from there either. If you export with metadata then they'll be in the exported file too - Windows (and most other software) should be able to read them from the exported file.
1 more Q. If I export an image with metadata, originally, George.jpeg, which has been added a keyword Washington. Does the image load to the original place in HD as George.Washington.jpeg, and secondly where to you tick to include metadata.