This is probably a really stupid question, but why is the secret door to the de'arnise keep, and also a main door in the caves of the windspear hills locked? Is it because my thief is not good enough at picking locks?

NO, it is pure game design, and for a few additional xp to picklocks. Nalia can pick her kep's lock, or your bad thief can drink potions of master thievery to be able to pick the lock.

Or level 2 mage spell Knock(alteration) will open any locked door or container.

Love locks, they give xp, and don't forget the trapos give good too!
Have fun.

Thankyou for that, i thought no one would bother to answer