SureAI

Far to the east of Thalgard, and slightly north of the bay with shipwrecks, my compass shows a symbol (landmark or point of interest) which has now been identified as "The Shrieking Caves." Is there some way to get there? Or is this a remnant of some incomplete quest?

It has no interior. The Dungeon never got finished.

I found a map marker in the northeastern part of the map, accessable only by tcl also not shown in knhaze's map.

Here it is:

http://imgur.com/a/9L2n0

I have found 2 other locations with keyed doors and no matter how much I searched the local area I could not find one.
Are these similar situations?

Some of the doors that say a key is required cannot be picked actually do have a key to be found somewhere. But most of them are locked because they are areas where there is a quest object and they will be unlocked once you receive the quest and the appropriate instructions to go there. There are also quite a few doors that have that same message but won't open under any circumstances, even if you use the console unlock command, as there is just nothing there, they might be from unfinished quests.