What this is describing is what the Ethereum virtual machine should do when a transaction is executed.
By default, every address has 0 ether. This means the state of all Ethereum addresses can conveniently be represented as 0... unless it's been involved in a transaction (in which case, it's a little more involved). That's what the "create it" refers to. So, yes, that means there cannot be an error in that case (that is, the call would succeed, unless you run out of gas).
Not sure what you mean by "key management". It is unlikely that anyone has keys for a random address (thus, nothing to manage). Any ether in that account is inaccessible until someone generates a corresponding private key. But if someone already has a set of private keys and shares an account address, the account, as far as Ethereum is concerned, does not actually exist in the practical sense (i.e., is not created) until you send any ether there.
Sending ether to a random address can be used as a proof-of-burn (like burning some physical currency to make it unusable). This can be done for reasons like being a penalty for doing a bad action (as part of a smart contract), though there are better ways of performing proof-of-burn. One could also use proof-of-burn is to pay for something without having an explicit payee. For example, I could require that anyone sending me an e-mail burn some ether. That way, I can show I don't really gain anything by having people e-mail (all remaining ether's value rises slightly due to decreased supply and an increased demand for ether to pay for burning) and a spammer's costs have gone up when trying to send millions of messages.
One reason why the behaviour of accepting all addresses is important is because otherwise, someone could spam the network and say "create this account" and "create that account" at no cost (at least in terms of ether). And since it costs Ethereum node resources to track which accounts exist, this could be an attack on the network. Instead, one has to actually send ether requiring a) some ether to send and b) a transaction fee (or, alternately, mining power to perform the transaction oneself).