What is the "kbd" in Markdown?
What does "kbd" mean?
It looks like a gray tag.
It's not part of Markdown; it's one of the few HTML tags that are also supported on Stack Exchange.
The tag defines a keyboard input. The tag is used when it is necessary to display a text that the user should enter into the keyboard (for any number of reasons).
It doesn't really have a purpose on Puzzling Stack Exchange, it's more intended for questions and answers about computer programs on e.g. Super User. It may look nice in the question you linked to, but I'm not sure how that question looks like to visually impaired users with screen readers.
It may look like a button to you, but as you've seen it's not clickable and should not be used to try to represent a button in a user interface. It's supposed to look like a keyboard key. So you might tell someone to press Ctrl F to do something.
Using it because it's visually interesting, has a grey background, draws a box around your text etc is considered wrong throughout SE. You're not going to be punished for it, but someone might want to edit it out. Don't write a puzzle that depends on using that formatting.