Keybindings are document level functions. That is, they work in the document that has that keybinding. If the document does not have the keybinding...it does not have the keybinding.

That being said, if both documents are generated from the same template, and that template has the keybinding AND the keybinding is set with the Document_New event - when the template creates a new document - then the keybinding will work in both.

Code:

Private Sub Document_New()
CustomizationContext = ActiveDocument.AttachedTemplate
KeyBindings.Add KeyCode:=BuildKeyCode(wdKeyReturn), _
      KeyCategory:=wdKeyCategoryMacro, Command:="EnterKeyMacro"
End Sub

I must say though that using the Enter key like this is very limited unless you also add code to make the Enter key acts like a normal Enter key. Otherwise it will NEVER act like a normal enter key.