Bioshock 1 n00b in need of help!

I recently bought Bioshock to see if I would like the second one, and its a pretty sweet game. Everything was going good, I was pwning splicers laughing it up, until... I go into Dr. Steinburg's office, kill him, grab his key, see the first little sister (I rescued her BTW)... and walk back into the Medical Pavilion where my first Big Daddy is waiting with his Little Sister. I try to kill him, get my sh*t rocked, and respawn. I walk back to the Big Daddy, kill him and... his Little Sister is MIA all of a sudden. Then I hear another Big Daddy, (full health, so I know it wasn't the first one) with a Little Sister. Confused, I try to kill the Big Daddy, get killed (again), respawn, kill him, rescue the Sister, save my game, and walk over to the door that requires Steinburg's key. And... it's gone. Gone? Yes, gone. I walk back into the Medical Pavilion, and WHOOPTY-FRICKIN-DOO! ANOTHER BIG DADDY AND LITTLE SISTER! I repeat the get-killed-respawn-kill method (I was low on health that time, so shut up) and walk near his Little Sister. I realize my shotgun is almost out of ammo, and can hear Splicers coming, so I say "I think I'll reload next to this little sister *picks up Little Sister and starts harvesting* F*CK ME!!!" I shut down my Xbox immediatley to stop harvesting the poor girl.

Now, several questions:
1.) Why did the Big Daddy lose his Little Sister?
2.) Why did the whole Med Pavilion become infested with Big Daddies?
3.) Why did I lose the key?
4.) Will I get the "sad" ending even though I shut down my system?

Inb4walloftext
Inb4coolstorybro

 

Yeah, thanks. Although, I am 99.9% sure the first Big Daddy was with a Little Sister. Oh well, at this point I'm considering starting the campaign over. Which works out well, because my annoying 8 year old cousin is coming over soon, and he always wants to play video games, so I'm planning on putting Bioshock in when he asks to play >=]