Worshipper – “Conquest” [Campaign 2, Mission 3]

The key to this mission is to act very quickly. From the very beginning, build as many castles as possible. You should have at least demonesses and cerberuses leveled up, preferably. 40-level demonesses will suffice. After defeating the garrison, simply proceed and capture the castle near the garrison, and then follow the right path through the riverbed to defeat Gilioan for the second time. And then... Explore the map, look for planetariums, and so on.
As for the blue key, check if there are dragons, and there seems to be some kind of armor artifact there. It's either there or near the second castle where there are hundreds of zombies.