Yes, proteins retain the activity during acetone precipitation. Acetone is completely water miscible and donot react with the proteins. The protein precipitation occurs due to reduction in water activity. Normally the acetone precipitation is carried out at 0-4 degree Celsius and most of the proteins will precipitate in range 20-50% (v/v) of chilled acetone. Most of the enzyme companies in order to concentrate their enzymes normally use this procedure as its is very cheap and convenient (acetone recovery is possible from water on account of low boiling point).
I think in most cases you will lose activity by using acetone, at least to a certain extend. The reason is the dehydration, since water stabilizes the protein structure. For sample concentration while retaining activity/integrity try an ammonium sulphate precepitation protocol... anyways, for both methods your starting concentration should be around 1 mg/mL or higher. If conc is much lower use a spin column with an appropriate cut-off.
I want to concentrate protein as the amount is very low. Due to low concentration bands I get on SDS PAGE are very faint. The active protein has nothing to do with SDS PAGE. If I can get my protein concentrated by precipitation still retaining activity, it'll be well and good..
You can use acetone for precipitation. There are techniques to enzyme immobilization that use solvents. Very often you lost activity, but it is a way to concentrate, then you can obtain a precipitate with a high quantity of protein but less enzyme activity.
About electrophoresis you can use non-denaturing conditions for your enzyme using substrate in the same gel to observe the activity and separate the active enzyme.