1) That's not a bug. That is normal Windows behaviour and how Windows works.
2) That's not a bug. That is normal Windows behaviour and how Windows works. Windows are opened when you right-click on the taskbar button.
3) That's not a bug. That is normal Windows behaviour and how Windows works.
4) That's not a bug. This is how it was designed. To close all conversation you need to hold CTRL when pressing the red cross or you need to set the registry value
TabCtrlCloseAll. All explained and discussed before on the forums. search.