The v1.2.0 (2006-08-01) changelog mentions this: "Locked door (requires key) in Unmarked Cave will now be unlocked, opening up three large explorable areas; there is no quest associated with this location, so no reason for the door to be locked, and there is no key that would open it."
The Remastered Version, according to the UESP, does this: "The door in Unmarked Cave that required a nonexistent key has been changed to have a Very Easy lock, making the dungeon now legitimately explorable."
Maybe this change should be adopted.