I have that key and assume I got it from one of the mercs, but a few people (in threads gone by) have claimed they couldn't find it anywhere.

I believe its on the guard at the front gate and only after the associated quest begins.

Maybe the quest is the requirement. I'll have to check on my non-TG character to see if I have the key on him (or can get it) eventually.

Its not I checked earlier today. I tried to see if I could enter the estate before becoming a member of the TG but the guard had no key and an invisible wall preventing access to the island. I don't know if he has the key AFTER the quest has begun its just something I recall hearing.

Lame! You couldn't even get on the island?

They're probably there to kill you. At least that's what happens when a hired thug starts talking to me on the street and I duck inside my home thinking I'll be safe there only to turn around and find out that the thug has somehow glitched inside my home...it happens whenever you're mid-conversation with an NPC even if they're just passing you by on the street and stopping to say hello.
Constantly have little girls telling me to come play with them appearing inside my home...not that I mind that....

The mercs are just some other thieves who have decided to plunder your wonderful abode

This is certainly interesting but the house in question isn't desirable in anything but the sheer size of it and the direct fast travel capability which requires you to clear the nearby area any time you fast travel to leave it. Few crafting areas and none of the benefits of nearby stores/vendors. Even Breezehome has an alchemy setup and a blacksmith area nearby. That's one more crafting object than this place.

We should see Bethesda's classic player tower/home dlc soon (it's the reason why they don't make awesome homes for the player in the basic game, i guess). Even so, the ones that already exist are so much better than this place. Mannequins and all.

I just found this so funny.