Congrats on the new machine, to take your questions in order,
1. Stops it leaping about when you have any imbalance in the work piece.
2. 3 Jaw chucks have 'inside' and 'outside' jaws, the second set will be the latter. Allows larger work pieces to be held.
3. It is intended to protect you from flying chips (or as I have found, to get in the way)
4. No idea on this one, sounds odd that there has to be contact between the guard and other parts, would have thought that the shaft would actuate a micro switch inside the headstock, that is how it has worked on all the machines I''ve had.
5. Odd way of marking the switch, you'll have to love it or change the labels.
6. Can you not just remove the spring from the existing chuck key, I agree they are a pain in the butt, supposed to protect you from leaving the key in but make using them almost impossible one handed.
Hope that helps and enjoy the new machine.