Anyone who wants it can get one. Keys are plentiful. They just don’t want to open up the floodgates yet, I guess.
In addition to that, guards mention that Corvo recently escaped from prison. There are also announcer voiceovers that say Emily is still missing, offering a reward for information leading to her return.
I feel like these things would be pretty hard to miss, but that could just be my slow playstyle that enables me to catch these details. I didn’t really feel lost about the timeline nor Daud’s motivations.