To the left of the cave, on the shore, stands the leader, Sokhaty. He asks you to bring him mercenaries. As a reward, he will give you a key. So, move the necessary units to the nearest Castle and go defeat the pirates, bandits, and other riffraff.
At the end of the game, the Zag-Zag cave is, of course, a very rewarding location. :D
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