You've missed something. I did Nalia's quest some time ago but I don't remember any probelms with locked doors.
As for the flail heads, they are located as follows:
*Spoiler*
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One is next to the forge where you can make the Flail of Ages.
One is located in the room where you find all the golems.
The third is found on Glacias (sp?) who is charmed and will fight you. You can either kill him or uncharm him. Either way you will get the 3rd and final head.
As an aside, I find that BG2 handles keys inconsistently. Some keys disappear after use. Others remain after use.
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"Butt-kicking for goodness!" - Minsc
"Cities always teem with evil and decay. Let's give it a good shake and SEE WHAT FALLS OUT!!" - Minsc
