In Oblivion, Nocturnal, when accepting her quest, said that they 'Mock thieves, for bitter is their loss'. While it could be just a reference to the original Gray Fox, it seems that she was not so accepting of thieves during that time.

What changed from then until Skyrim where she was more open with having thieves for Nightingales? And if the Skeleton Key critical to her Twilight Sepulcher, why did she hand it out so freely in Oblivion? I'm confused.

In Oblivion you are hunting a bunch of guys that stole her eye, and taking it back. She mocks then after because they have lost the eye.
Nocturnal her sphere also screams thieves, I assume she would look favorably on those that would steal because in essence they are using her realm to do it.

As for why the key is suddenly so important, I have no idea? Perhaps she can afford to miss it for a short time, and then gives it out to people who temporarily deserve it. Daedric artifacts after some time always return to their owner. I'm more curious to how Gentleman Jim Stacey acquired it during Morrowind, I never got the idea it was a Daedric artifact back then...

IIRC Nocturnal says "We mock the thieves for bitter is their loss", which I understand as "we mock those thieves who stole from me since you stole the thing back".

As for the Key I think Fishy might be right in assuming that she can grant it to others. The side effects in Skyrim might be a result of it being stolen, not given.

Before the events of Oblivion, the ability for Daedra to cross into Mundus was extremely limited. Afterwards, those barriers have fallen significantly. It's possible that 200 years ago even the Skeleton Key wasn't capable of opening the door between Nocturnal and Mundus, and so she wasn't so stingy about loaning it out to thieves that pleased her.

Well, if your read through the histories of Bharenzia, the Nightingales, etc, you find out that keys been around for some time.

The Key seems to be able on unlock gates between the realms (though it has some secondary effects on people), from the accounts in the histories it's probably always had that ability. So that sort of means that one of Nocturnal's realms in Evergloom, has something to do with luck (good and bad), and that the key and seplecar are involved in that flowing into Nirn.

Also some intresting things to note, is that Nocturnal doesn't seem keep Daedra in her realms, from all accounts, she's beyond the the other Daedra in some mysterious way. Not indulding in thier same games, etc... And she only choses a few mortals, 3 at a time, to assist her. They also seem to gain some sort of immortality, in that they gain a place in Evergloom at thier death in Nirn, and can be sent back by Nocturnal when circumstances warrent. That seems to be something none of the other Daedra lords can (or will) do.

200 years ago, Whatshisnymic put Nocturnal through a helluva' loop by reasserting himself as Corvus Umbranox. I imagine that may have something to do with it.

Nocturnal is the patron of the Thieves Guild. She was not a patron of the thieves whom stole her eye. The Thieves Guild in Skyrim, is "punished" because they lose the connection to Nocturnals realm, when the key is stolen.

In some ways, worshiping Nocturnal is very similar to worshiping the Elven conception of Sithis. She claims dominion over the Void, eschewing desire for the leavings of Aetherius, and rather embraces the inevitable oblivion of Nothingness. She is the Queen of Thermodynamic Disorder, favoring change that leads to Nirn's Heat Death. In her eyes, the absolute Void was interrupted when order came into Oblivion and rended the Mundus into form. In other words, her perfect order of Disorder was stolen from her and that forced her into the realm of the Thief. She patronizes thieves who steal from Nirn, but still remains angry at the first theft which she is trying to reclaim. Largely, she doesn't care who steals from whom, so long as she isn't the mark.

If Lorkhan was the Mage of Sithis, and the Dark Brotherhood's Sithis was the Warrior of Sithis, then Nocturnal is the Thief of Sithis.