Phew it is not as easy, but possible
Use maketarget2, it is able to load the shapekeys to your human, as long as the vertex order did not change. Be aware that clothes and proxy topology is following body or helper inside MakeHuman so it is only working on standard body. The keys are made for body + helper. If you want to do it other meshes, you need a weight-copy inside Blender etc etc etc and then you can leave out MakeHuman in between
But before you do so, take a note on this:
A shape key, even if it just changes a single vertex, is a complete mesh-copy inside blender. The export to MakeHuman only contains the changed vertices, but inside blender it needs memory.
MakeHuman has sth. about 1000 of these shapekeys/morphs. Some of the makehuman morphs are macro ones combined from a lot of others. Most of the official ones have sliders going to left and right, so these are two shapekeys or morphs for the same change.
Maybe for a test take a look here:
http://www.makehumancommunity.org/wiki/Documentation:TargetsV2with maketarget2 you can load a target from makehuman directly, scroll down to "load a target". Then you can see how it was done. No rocket science.
unfortunately you need targets uncompressed from Github in this case, here you can find them:
https://github.com/makehumancommunity/makehuman/tree/master/makehuman/data/targets