I GOT IT!!!!
In the main loop I added a 10 ms delay after waking up, and no more missed keypresses when using your Keypad 2 library. I'm happy.
if (!key)
{
goToSleep ();
delay(10);
return;
}
Using the Keypad 3.0 (and Nick, yes, thank you for the pointer above, I did miss the different cols setting, but fixing it did not change the code behavior), with 10 ms delay, it misses much fewer keypresses on wakeup, but it still misses quite a few, about 3-out-of-4.