Now that's more like it!
Re: Esmerelda's door and key, the issue isn't so much that the key is there, but that she and the guard don't seem to mind one bit that you go strolling up the stairs into her private quarters. If getting up those stairs without provoking trouble required sneaking past/distracting/bribing/etc the guard, having the option of picking the lock instead would be more useful, and smashing through the door probably ought to draw the NPCs' attention as well, making it less viable for getting in unless you're really creative about it. (On the other hand, whacking the back door a time or two and taking off might be one way to distract the guard so that another character can slip upstairs...)
