It will let you delete that program if you play another, but as long as the program is active it is locked for deletion. This is so that someone on TV2 can't delete your show while you are watching it on TV1.
1.) Some shows do, It all depends on what dish gets from the programmer
2.) Its a fail safe to really make sure you want to delete it and didnt accedently hit the delete button. It should only ask once.. (mine does)
3.) That would be nice, Good Idea
Also if you have a big screen hdtv you might want to check out the extended guide with or without video in the systems menus 6, 8, 2 on your remote. The Extended (primtime) guide is nice.. I use it on my 32 inch hdtv and like it very much