Debug options are only available when you "pause" the program or insert a breakpoint. I dont know how Keil is integrated because i use ASEM51. Basicly Proteus needs to know 2 things.

1. Where to find the hex file (you must also do this in the CPU part)
2. Where to find the List file, so you can debug showing the actual code.

You can change this in the menu... Source-->Define code generation tools.

Again i dont know how you can really integrate Keil so you can use the "build all" option. But with the things mentioned above you should atleast have debug options.