Q1 - If you buy a lord with just one ally and rest is pearls do you get to keep the ally card then? - We played that you kept it but felt that i was very powerful.

Q2 - If you buy a lord which is your 3rd key does the lords ability activate before he goes to a location or not?

Q2: Yes there is a window where the lord can activate before he is attached to the location.

"As soon as you gather three Keys (Keys are gained when you recruit a Lord with a Key symbol or by fighting a Monster while Exploration) you must immediately take control of a Location."
"Any Lords used to control that Location must be slid underneath it so that their Powers are covered—these Powers are no longer available for the rest of the game."