I must be missing something. Some doors, it works fine. Some, my rouge never even tries and it just says "locked." opening the roll screen and it's just blank. Kind of frustrating.

You need to use the "open lock" from the radial menu (right mouse).
And you probably need to have thieves tools equipped.

Thanks. I have been using the radial menu. I thought I had thieves tools equippped, I will have to check at home.

So I have thieves tools equipped and 14 unlock skill. Some doors, it just says locked and there is nothing under the 20 sided die roll. Are these door that need a key no matter what?

Maybe. There are some unpickable doors in the temple, but I don't remember what the game says about them.