This seems like a pain in the ass to deal with if they are:

entity = dataset.entity('Person')
entity.key(entity.key().name('name'))

versus

entity = dataset.entity('Person')
entity.key().name('name')

What do we really get by making a Key immutable?

A Query being immutable makes great sense - chaining things together is easy and you can "fork" a query into several different ones. But it's unlikely we'll need to fork a key...