You got the experience, reputation drop and Rob taught you a level of Lockpick, Pickpocket or Evade Trap? Once you join the guild, the door should be unlocked (no need for a key). Did you start the game before installing the 1.33 patch, then save after doing so? The door may remain locked do to a (now fixed) bug described in Map has gone back to black and Solution for patch and disappearing maps.
