Since it hasn't been mentioned here, I'm pretty sure this is different on the master tactician level. My first game was on normal and the key for the Cove Harbor door just dropped somewhere below the trap door and I never even thought about it. But on MT I got a bit stuck before I discovered that the key is actually on the bench on the other side of the door. You can either use TK to pick it up or teleport/cloak and dagger through the door to get it.