Sounds like you might have a problem with the lock on the passenger side door. If all other doors are closed, and the engine is not running then the pushing down on the passenger side lock should lock all the doors, if any other door is open it will not lock when you do this, and if the engine is on only the drivers side door lock will lock all of the locks, and only if the driver's door is closed (it will not lock if the driver's door is open). Hopefully your problem with the key lock is not serious. You might try putting some graphite (found at any hardware store) in it to lubricate it, that just might just loosen it up.
1995 E420 - retired
1986 420SEL - retired