No biggie without it, AFAIK.
Right after Kol introduced himself, I broke off the conversation to defend my party from some attacking monsters, and when I turned around he was already gone. Yes, apparently he gives you the Heretic Key, which opens an area in the Serpent Temple which contains an item with narration that enriches the plot, but is not an essential item for completing the game. Besides, who knows, maybe you'll met him again someday.
I'm finding it worth the time to not only save frequently, and especially before meeting each NPC, but also keep a backup of all save games once the six slots fill up.
- John
http://www.tk421.net/wizardry/