With most of my early experience in bands - school and dance combos - or before that walking to/from school with a harmonica, the basic principle I found was that you can play any tune in any key you want to. Switching to a particular key isn't necessary unless you want to play backup for a song someone wants to sing, or you want to play with other instruments. (Some instruments do have a lot of difficulty playing "outside their key.")

When all the music was in churches (the organ pealed the potatoes) the traditional "true enharmonic tuning" did give different "color" to different keys, and it's probably worth knowing a little about it for "theoreticians;" but while portable instruments might have attempted to tune that way the "mythical true pitch" tuning of nearly all of them was more imaginary than real.

The universal use of equal-tempered tuning, built into virtually all modern instruments, leaves very few people who can tell what key something is played in without checking the score.

It's all relative, but mostly its only the intervsals that count for much.

The instrument you happen to prefer determines whether you need to worry about whether the relatives are the inlaw or outlaw kinds. (How well you play it may also matter some.)

If you're tied to a diatonic instrument, or one that can play (easily) in only a couple of "keys," it can seem quite important what key you're in; but unless you're tied to "only playing the melody" you can fake it through most misfits just by flipping between the harmony "parts." It's one of the things that makes "improv" so much fun. (Play something that doesn't quite fit, but sounds like it does - and pretend you did it on purpose.)

John