If your keets are escaping it's time for a twist-tie or something to seal the door. You definitely need to ensure they stay put when you're not around for safety reasons.
As far as the screaming, I would first check that there really aren't any issues. It could be she's screaming for a reason and when you come by she thinks you'll fix it. Check the temperature, water freshness (should be replace daily), etc. etc. If it's really none of those, I would wean her off screaming. Make sure she has quiet music when you're not there. Make sure you spend quality time with her for a good period of time every day. But if you're in another room and she screams, don't respond. Otherwise you're training her to scream for you.