If they don't want people to get to their bank accounts and such, then why do they still allow them to get to those websites? Why don't they just accept a firewall/proxy policy that only allows certain sites through?
We do that in our call centre. There is a single internet machine for getting to your facebook, banking sites, etc. But on the desktop machines the agents are only allowed to the sites required for them to do their job. You do your banking, etc, on your break time.
Yes, we record screens, but that is part of the performance review requirements to ensure they're using the apps correctly.
As for the no personal e-mail account stuff... this is not allowed for our agents because we're a call centre where time is money. Spending time at your work desk doing personal gmail and facebook cuts revenue, affects your call handling and eventually reflects on your performance score and that eventually means you won't be getting a bonus.
Suddenly jumping onto logging what people do sounds like admitting that the firewalls/proxies are just not blocking correctly or the policy around it is flawed.
If you must have a keylogger, then rather get a software solution rather than a hardware solution. Hardware can die, but one can always re-install software. I think a screen recording solution would be fine.
Actually sounds to me like management saw a "keylogger" buzzword while browsing the 'net for other managementy things to say.

j/k
And don't waste the money on hardware loggers if you need them. Rather get a software solution.