1. The rum stuff is about the quest where you get the book from general bran, you could get the guard to give you a key by getting him rum. The dialogue always appears, even if you didn't solve this quest or killed the guard.
2. The lockpick skill is broken, it doesn't work on any chest or door in the entire game.
3. Yes, there are some chests and doors you can't open because of the broken lockpick skills (in act 1, if I remember correctly: door to bathroom, some chests in guards sleeping room and a chest in the neighbourhood of that chest with the key in the painting. Maybe there are a few more, but I don't remember them)