Orkney is a plural. It’s acceptable to say ‘the Islands of Orkney’. It’s fine to say ‘Orkney’. Saying ‘the Orkney Islands’ won’t raise an eyebrow from me either. However, say ‘the Orkneys’ and I will shudder. Orkney is a plural and refers to all of the islands here. You wouldn’t say ‘the sheeps’ would you?
The ferry journey allows you to admire Eday, Rousay, Egilsay, Wyre and the Mainland with spectacular views – on a good day. There’s also sometimes a glimpse of Shapinsay with Balfour Castle.