They're in 0.50.5, but they don't appear either randomly or in preset places. In wizmode you can wish for a chest and a key, but trying to unlock the chest gives the message "The lock is broken" (just like Petrus's wives' belts). If you actually break the chest with a heart-shaped lock, the resulting chest with a broken lock doesn't register as repairable (but nor does any chest).

That's the kind of thing safety maps are designed for (see here and here). Rather than pathfinding away from the player (as in those examples), it would pathfind away from a combination of hostile creatures and environmental dangers. Once the NPC is in a tile it judges to be safe, and isn't panicked, its normal AI can take over again.
The same code could also make magpies much more difficult to track down. If that's not how they already work.

What even is a "room" when you can dig holes and summon doors?

They're very useful for doors. A locked room can give privacy when science talking, security when cloning/mirroring, storage space when available chests aren't enough, and safety from monsters while healing. It can keep interlopers from setting off the minefield while you clear it, imprison slow monsters, and keep pet spellcasters safe. Under time pressure, unlocking can be much faster than kicking a door down. Especially with strong doors like the mage room's.
A lot of these applications fade on GC7 and lower, as monsters that can kick down doors become more prevalent, but in general I get a lot of use out of keys if I find them.

I don't see why chests would be treated differently from other items when polymorphed. Is that a nethack thing?

Well, you can test it pretty easily by putting a variety of items in a chest with a broken lock, and then polymorphing that.

The data files assign hexagonal, octagonal, and heart-shaped keys possibility 0, which presumably means they can't be generated as random items (they are in certain characters' inventories) or wished for.

I like that Attnam won't help you kill a pet that you betrayed - after all it's not their fault. Still feels wrong that it doesn't get punished for breaking the law like the player does.

4 grenades, 20 dex, and a square key...
And gas immunity. Don't try that without gas immunity.

I recently saw a suggestion to open tough chests by standing on them and letting an armless golem kick you. Perhaps the same could be applied to gassing Attnam. Factors to consider would be:
* How to leave its legs intact while removing its arms
* Whether the golem is strong enough to kill you
* Whether the grenade explodes under you, explodes against the wall it hits, or doesn't explode
* Whether the golem's act of vandalism/aggression turns Attnam against it (they normally ignore betrayed pets)
If betrayed pets aren't subject to the same restrictions on vandalism as the player, it might even be able to kick things out of shops for you.
Edit: A pine or fir golem in wizmode can clear scrolls off the library's door tile quite handily. However, its kick is strong enough to set off a gas grenade under my feet. That may actually be the best option, if the player has gas immunity or can handle a few ticks' worth of exposure. Certainly easier than juggling an Attnamese dwarf and its bizarre pathfinding.

Probably this is a bug, and betrayed pets should not be able to commit crimes with impunity.