I've had a buddy break a Keo Carbon spindle. The design of the spindle is bad as it doesn't taper correctly (as evaluated by a mech-engineering grad student). Googling around, Keo Carbon spindle breakage appears to be somewhat common.

That said, I love my Ultegra spd-sl's. When you walk with the cleats, as long as you're not treading on gravel, it wears some pads that don't have to do with the mechanical engagement of the pedal. Its a lot more comfortable than the Look delta cleats I had used previously (which were larger than the Keo cleats). I race with them and I have it set on the lowest tension (default) - never once have I accidently popped out of them.

I'd go for the Ultegra's. Then again, you can get the Dura-ace ones for the same price as the Ultegra retail from PBK. Or you can get the new 105s for even cheaper and only sacrafice a handful of grams.