I did get out of the shrine using lockpick. Just kept reloading until I got it right. I missed the guy at the front gate, or the key at any rate. I killed my way through. Just couldn't get into pretending to be one of those guys!
Haven't played any yet so may give it an hour or so before bed. Nipomo, I go in if I am not in the midst of a quest. So some I have found but not explored which has created a bit of a problem because I should have marked (with a blue arrow) the ones I did complete so I don't keep going back to the same ones, or skipping some I have missed.
AARGH!! I returned to the game for a little play before bed and guess what? I am still stuck in the shrine. The lock I was so proud to have picked was on a hard chest and there I stood becoming more and more claustrophobic in these caves.
I went back to an old save and re-entered the Mystic Dawn area and replayed the entire shrine section but still have not found the key. Maybe tomorrow!! Or I'll just back out of this for now and wait til I'm a powerful enough mage to blast through that rock wall! (By the way, is there a secret to that,perhaps)? I am too weary to pursue that thought tonight.