Understanding when to count key comparisons
I'll answer some other question first: Why do we count key comparisons?

When analysing the runtime of an algorithm it can be tedious to count all the operations (even more so, if we notice they don't all take the same time). So it is convenient to identify those operations that dominate the runtime and only analyse those.

In the case of searching the dominant operation are key comparisons, in the case of sorting, they are key comparisons and swaps. Furthermore, most sorting algorithms will only swap elements that they have compared just prior. Thus the number of comparisons gives an upper bound for the number of swaps as well. So we can get away with counting the number of comparisons in order to get an idea of how the (worst-case) runtime of an algorithm behaves.

Now to your actual question:

If key comparisons are the dominant operation, e.g. in an algorithm that combines sorting and searching, then it is useful to count all key comparisons, if we want to get an idea of the runtime.

If, on the other hand the key comparisons are dominated by some other operation, then it might make more sense to count those other operations and not count any key comparisons.

Or the key comparisons are one of several operations, neither of which dominates the others, then we count all of those. Or in one part of the program key comparisons are dominant, while in another part they are not. Or ...