1) Which BF5-key did you find? There's a joker-key... The real one is in one of the rune-rooms.
2) Nope, those rocks are just decoration unfortunately.

3) Lockpick is unfortunately broken. <img src="/ubbthreads/images/graemlins/disagree.gif" alt="" /> My advice is to unlearn the skill and use it for something better...
4) The only arrows you can convert are Normal Arrows. If you are sure that the arrows are with your hero and he is leader, then I don't know what you're doing wrong. It worked for me.