In the begining sewers there are 3 locked gates with key holes and one locked gate that will allow picking if you have the skills. I used a thief and picked the one lock to get to some level 4 chests. The other locked gates I thought I would eventually find a key but I never did.
Is this a bug or is there a key that I missed?
Also after exiting the Theatre there is a grate to the right with a lever behind the gate that is obviously intended to be opened from the other side.
Yes, they're both covered in the appropriate section of the walkthrough.
SWC
Sir Edmund:"Should you obey the lord who asks you to put a village of innocents to the torch? Is that chivalrous? Is it noble?" Me:"It's a great way to get promoted, I know that much."