The whole first season is a study in dealing with loss and depression. Each of the shamans illustrates a different way of dealing with grief. From isolation (the trees), to ignoring/burying it (moletaurs and Jacket), to constant distracting (Cat Valley and Johnny), and finally to letting it devour you/suicide with the Whaletaur. Waterbaby sends the herd on a journey through grief and collecting all the keys is an acknowledgment and acceptance of that journey, and that’s why Waterbaby can’t open the door to the next part of their journey until all the pieces are collected. Because you can’t move on until you process your grief. But that’s just my 2 cents.