Ok, this is a smallass glitch, probably not even worth noting, that I found in Ep 6 because I'm a clumsy oaf.
When you're doing the second mission for the Badass 5 (going after the 'documents', you go and talk to Exiled and then the guy goes out of the house and Exiled walks to the window and waits for you.
If you go inside a building or something Exiled's position is reset, so he is standing back in the alley but if you talk to him he still smashes the window (which he is no longer in front of) and gives you the key.
Other than that it all works out.