Is uncertainty one of the keys to happiness?

Yes. Positive moods lasted longer when people weren’t clear on why good things happened. This is why you should explain the bad things in life and not explain the good things:

The authors hypothesized that uncertainty following a positive event prolongs the pleasure it causes and that people are generally unaware of this effect of uncertainty. In 3 experimental settings, people experienced a positive event (e.g., received an unexpected gift of a dollar coin attached to an index card) under conditions of certainty or uncertainty (e.g., it was easy or difficult to make sense of the text on the card). As predicted, people’s positive moods lasted longer in the uncertain conditions. The results were consistent with a pleasure paradox, whereby the cognitive processes used to make sense of positive events reduce the pleasure people obtain from them. Forecasters seemed unaware of this paradox; they overwhelmingly preferred to be in the certain conditions and tended to predict that they would be in better moods in these conditions.

Source: “The pleasures of uncertainty: prolonging positive moods in ways people do not anticipate.” from J Pers Soc Psychol. 2005 Jan;88(1):5-21.

One of the researchers behind this study is Harvard happiness expert Daniel Gilbert. He is the author of the bestseller Stumbling on Happiness. More on his work here.

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