Those doors you can't open with lockpicks in stage 1 are the doors only orcs can open.
Throw two stones in a row in front of the door on stage 2 upstair where you see 'absence'. The door is also only enemy can open, and is auto locking door (and what I mentioned right now is a hidden strategy where you can get another 'Key for somewhere').
Run away immediately after you trigger the magic circle on stage 3, then you will be able to deal with the door.