When you work in split view it can be hard to tell which app has the keyboard connected to it, there is no kind of indication outside of a blinking cursor if you are using a text editor that supports that.
One thing I have noticed that helps is if you quickly tap on the app you want to use the keyboard with. This isn’t ideal, but it is the best option I have found that works with iOS 11 as of now (and the iOS 12 beta as well).

(Via Tablet Habit)
When I was two weeks with only the iPad Pro I found this immensely frustrating. The suggested work around here did not work universally, for example with Reeder open on the left and Drafts 5 on the right when I triggered Drafts to receive input I could not switch back to Reeder for keyboard navigation.