This is a pretty cool image … at least you have patience to work with vectors. I could never get into creating images with Illustrator.
I think the light sources in the image aren’t really particular to an area and it does lead to some confusion about the forms. The rat’s left ear looked at first like a armor piece above the shoulder joint.
You should probably take another look at where your light source is coming from and fix any reflections/shadows that don’t seem correct. For example: the head appears to be lit from the top right, but the legs and tail have centered or top left sources. The ankle joint on the left rear leg appears to be reflecting light from the bottom left.
All of these little imperfections in light are what’s making the character seem disjointed. Not, the software choice.
One other thing that seems odd is the fact that we can see the top of the key. From this perspective viewpoint I would think we should be seeing the top inside of the key holes and maybe a sliver of the bottom surface of the key … not the top.
As for background ideas … I don’t have a clue. I usually am considering background choices for my characters after I’m done also. The plain gray background works for me if it’s just a character study. But you could always spruce it up some with some graphic element or title. An actual environment background maybe too distracting.