At least in 0.6.2, you have to call Particle.keepAlive() AFTER Particle.connect. I usually wait until it’s actually connected when using SYSTEM_THREAD(ENABLED) but I’m not sure that’s really necessary.
But you definitely can’t do it before in SEMI_AUTOMATIC or MANUAL, as the call will be silently ignored.
You also only need to do it once; if the cloud automatically reconnects the setting is remembered.