You found all 6 dungeon entrances?
The level 1 dungeon is to the south and a tad east of the merchants. Dungeon 2 is just east of the first one, and number 3 is east again. Level 4 is the one to the north, 5 is east of 3, and 6 is to the far east.
When you click on a BF key, it will list the highest level you have access to, which may be higher than the level of the key.