I never thought of it like, that but I just read the scenario again, and I concur. The whole board is the Keep. So yeah, for the real keep feel, I would agree with your plan.
Personally, as it also says "like a normal board" I will take the pieces I got and arrange them so they are coherrent with eachother, rather than a city layout. One day I will probably make Keep pieces, but right now the focus is on: Silent Tower and then the small things: Statues, Teleportation Discs, a Fountain. I don't have any terrain before I started frostgrave in august, so it is some of a build up.
Troels