Upon killing King Olaf, I picked up a key to his treasury.

Where is it? I don't recall encountering any locked doors with huge difficulty locks on them on the delve through Dead Man's Respite, and I haven't on the way out past Olaf...

I want teh phat lute!

The "treasury" is just one chest behind a locked door after the hall you fight King Olaf. It's right before the exit tunnel I think.

Uhm... it's not. I just used the Lock console command on it and it's not instantly unlocking with my key. I'm getting the lockpick screen.

According to UESP, the key is for the locked door, not the chest.

The key should open the door and the chest behind it is unlocked.