One of the keys you've found should open the secret door in the Grey Goblin's area. I can never remember which one, but as you said, it is easy to get to the other side anyway. You don't need to hold on to duplicates of any keys (if they stack together, they are duplicates), though you might want to keep a copy of every key you find with you, since some are effective on more than one level.

Yes, shrines do allow you to raise your skill levels. Let me know if you want some advice about what to raise and what not to raise.

I assume the locked shrine door you are referring to is in the lower right corner of the map, with lots of tall platforms that you have to jump across. If so, then one of the platforms above the water in that area is next to a wall with a button; press the button and the massive door leading to the shrine will swing open. The jump over to door is a PITA, but once you've pushed the button you'll see that the door is open before making the jump. You should be able to see the button when looking at the button's platform, and only one other platform allows for an easy jump over to the button platform (the button platform has wall on three sides).