Think of it as two complete different user interfaces. In each one, the modes are changed by turning the light off and back on within a short time, like two seconds. You don't need to actually click it off, as pressing the reverse clicky part way will momentarily shut it off. You really want a reverse clicky for this sort of interface.
So with the head tight, click it on, you have turbo. Half press the switch and let go (light goes out momentarily), and you are in strobe. Do it again, and you are back to turbo, and so forth.
Loosen the head, it drops to low. Half press and it jumps to medium, again and it is in high, and again and you are in SOS. From any mode, tighten the head, it jumps back to turbo.
It makes sense after about one minute of playing with it, very intuitive.
I actually own the older P2D, and others in that series (L1D, L2D), and the Quarks, which are pretty much the same idea, with the addition of a moon mode below low. Not so much an EDC for me, usually I carry just a AAA light. I use the slightly larger lights when out hiking in the woods and grab them for specific chores around the house. They may get strapped to a bike handlebar or helmet too.
I know for my older lights, and I think this still holds true, if you use a full 3.7 volt Li-Ion rechargeable, you will lose the lower modes, it is just very bright all the time, at least until the battery is almost fully discharged. So the Fenix, unless they have changed the circuit, is best on primaries if you want to use the lower modes. But if you want to use it in turbo all the time, you won't know the difference, and it will work fine. Quark lights retain all of the low modes on a 3.7 volt battery.
Keychain carry is a personal thing, but for me it is a bit too big. But keep in mind I have only put a Photon sized coin cell light on my keychain. Many use 123 size lights on one, but more will go down to a AAA light. My wife's keychain is bigger than mine would be with a PD20 on it, and she has no light on hers! (still trying to fix that)