It always striked me as odd that the listings package doesn’t include the leading backslash of (La)TeX commands when emphasizing them. Thankfully you can change that behavior by i.e. setting `\lstset{\texcsstyle=*\bfseries}` (note the asterisk). Unfortunately this cuts the connection between the styling of LaTeX commands and that defined as keywordstyle. In order to have LaTeX commands and the leading backslash styled just like keywords in any other language, use

`\lstset{texcsstyle=*\lst@keywordstyle}`

in the document’s preamble. The actual keyword style is changed via

`\lstset{keywordstyle=...}`