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Some discussion on TFoE can be found in numerious threads in the archives. I'm pretty sure there was a specific one in regards to the doors being locked or not. The search engine should help you find it. I had attempted to add some logic to the order of completion of the sections in this thread.
I made the Vecna door appear to have an initimidating trap upon it, something that would normally be beyond the means of the party rogue. This had the PCs thinking the key to the Vecna door would be found through the other door that they had a key for. This was as the Faceless One wanted the PCs to believe... (cue evil laughter)
I think the answer depends on how you want to rationalise the dynamic relationships between the cults, and of course how much work you want to put in. Another consideration is the strengths and weaknesses of your player characters.
If you rationalise it as written then the doors are locked and the players follow the order as the adventure is written. The rationalisation behind this is that the three cults have an uneasy alliance at best, they are fearful and distrustful of each other. why post guards in the temples? Who are they guarding against? Obviously each other, the chances of a party of heroes descending down the lift into the heart of evil is slim at best. even though it has happened, the evil cults consider themselves too well hidden from the outside world. The three cults are only in agreement on one thing; that the Overgod must be raised to bring about the age of worms. This way is a little more safe and controlled for the PC’s, it is structured and if for example the PC’s make a big noise in the Hextor temple then the grimlocks wont come running to the rescue. This also gives the PC’s resting time between temples. not much time but enough for a few healing spells.
You could on the other hand you rationalise that all of the temple doors are unlocked, and the PC’s can pick and choose where they will go. This way is a bit more frenetic and epic, for example if the PC’s make too much noise descending the lift and taking out the tiefling guards then potentially all three temples may throw open their doors and come out and you could have the PC’s facing up to about 20-25 opponents, (a time consuming affair that can quickly turn into a slash fest) if the PC’s survive that initial battle the players are going to be bored later when they have three temples to search with no danger or challenge. The three temples have their own individual tactics to eliminate intruders. This also serves to give a different feel for the three temples cultures, this will be lost in a mass battle, which would be a nightmare to run logistically and would probably result in a TPK.
In my campaign I am using the locked door rationalisation with the proviso that the players can go to any temple they want, for example there is nothing to stop them bashing down the door of the Vecna temple first or picking its lock, The other temples are used to hearing noises and screams from all the torture and sacrifice that happens down in the main temple and so will not run to help. Even if say the Hextorites know the temple of Vecna is under attack would they rush to help? They may think the kenku’s would do their job well, too well and shrug it off. In my campaign the PC’s have descended into the temple on the eve of the festival of the blood, if the PC’s dally around until the actual festival then all of the temples will converge into the main temple room in worship of the Overgod who will rise. I wouldn’t want to be the PC’s then. So I am using the first rationalisation but with a time restriction of one day,which if reached will allow me to switch to the latter rationalisation
In my game, the party started by going after the temple of Bane (Hextor). After clearing that, they went after the Labyrinth of Myrkul (Vecna) because the idea of going down the in caves just didn't sound appealing at the time. They did not go into the Caves of Bhaal until the Faceless One was already dead. It didn't have any real effect on the game other than when they found clues down in the Caves, they already knew to what they referred. The Ebon Aspect didn't activate until after Grallak Kur died, so the order didn't mean much.