Indeed if you go to KW for the beaches, you will be disappointed, this applies to the keys in general. Very few natural beaches, it s all about fishing, snorkeling, diving. And drinking, as well driving slowly past strip malls.
There a few nice resorts with good private beaches, like Little Palm or the cheeca lodge, although not cheap...
I woudl think Miami beach maybe a better choice, aLthough again can't say the beaches are that nice. Key biscayne is probably better beach wise, especially the northern end of Crandon park.
Lots to do by boat around here, there are a few rental including American Watersports here in th grove.