1. The Cloud Key is a tiny linux computer that runs the controller software locally on the network. You don't have to have it, but can make configuration changes easier than running the controller software on your computer which is probably not going to always be onsite. Also, you can set it up for remote access with your unifi.ubnt.com login credentials, and can have multiple cloud keys linked to that account for remote configuration/troubleshooting purposes.

2. If you created the SSID under the "Default" wlan group, the all access points adopted under that site will default to that SSID (or SSID's, depending on configuration). If you need different SSID's on different ap's in the same site, you can configure multiple WLAN groups, and then when you double click on the ap in the devices list, under configuration you can click "WLAN" and change which WLAN group the AP is associated with. Seamless roaming takes a little tweaking to make it work perfectly. Properly configuring TX power and sometimes minimum RSSI can make the hand off a little smoother. Unfortunately, when it comes to roaming, the client makes the decision, and some make stupid decisions (coughIOScough). The ap's can only make suggestions.

I personally prefer to run the controller software on an external server, because then I can set up multiple sites on one controller instance, and only have to manage backups/upgrades on one controller, not for every single site we have Unifi gear installed.