Sky team is an airline alliance (like Star Alliance and One World). Each alliance has some affiliated airlines (e.g. Skyteam includes, AF, KL, AZ, KQ, DL, GA, VN, MU, CZ, KE, OK, etc). Each airline has its own FFP (frequent flyer program) but several airlines in the same alliance share sometimes the same FFP (e.g in Skyteam, Flying Blue is shared by AF, KL, UX, RO and KQ (Kenya Airways). In Star Alliance, Miles & More is shared by LH, LX, OS and LO).
Usually an alliance ensure earning miles on all airlines of the alliance whatever the alliance FFP you are a member of (e.g if you are a FLying Blue member, you earn miles when flying DL, CZ,etc). Normally it is useless to be a member of several FFP within the same alliance (your case)
All I told above are simplified rules, but there are more complex things in the FFP rules.
In your case, as you are a member of 3 Skyteam programmers (FB, SkyMiles and KE), you can choose the one you want to credit a KQ flight. Note that FB is the FFP of KQ, so it might be more interesting to credit it to FB. The best for you is to check, for the fare you are booked in, how many miles you would earn in FB or in SM.