(1) This sounds like it might be a bug in how KDE/Dolphin recognizes available filesystems (as well as what the others have said about this).
If you would like, you could try using the new "pc-mounttray" application for PC-BSD 9.1 (if you are running the 9.1-Beta image or later). The auto-start for pc-mounttray was accidentally disabled for the 9.1-beta1 image, but you can start it up manually from the command line with "sudo pc-mounttray &". It is a brand new feature of PC-BSD, so we are still on the lookout for bugs, but it seems to detect/mount/open external devices/drives without a problem so far.
(2) If you want to disable the AppCafe auto-creation of desktop icons, you can click "File -> Preferences" and turn off that feature (you have to be running PC-BSD 9.1-Beta or later to see this option in the AppCafe).
(4) The actual PBI files are not saved to disk when you install from the AppCafe. However, you can "re-package" any installed PBI by running the command "pbi_create -b <pbi-name>". This will re-create the *.pbi file which you can then move to any computer for offline install. (Note: I think that <pbi-name> needs to match the syntax from the "pbi_info" command for installed PBI's).
That being said, I think it is on the list to add the option for the AppCafe to save the downloaded PBI's to disk for later usage. It just might not happen in time for 9.1, but probably 9.2 instead.