2. You need to duplicate the terrain as well. You're referencing the same terrain, so modifying it in one scene will affect others.
3. Height between which one texture fades to another. 4 textures are specified -- slope, and 3 blended textures (low, mid, high). Range 0 - low to mid, range 1 = mid to high.
4. You can't paint anything. Painting is done by the dynamic shader. That's what lets you reshape the terrain and see the results right away without having to repaint it. If you want to paint manually, you shouldn't be using the dynamic shader.
1. The dynamic terrain shader has "exclude dx11" lines present. If you uncomment them you will notice a warning about "o" not being fully initialized. If you fix that, dynamic shader will work. I don't use DX11, so I didn't. In regards to baking -- what are you baking and why?
It really sounds like you should not be using the dynamic terrain painting shader. Baking, manual painting? Just don't use it. Paint everything yourself.
You can also use the PaintTerrain's "RepaintAndBake" function to bake the dynamic painting result into the terrain textures -- but before you do that you have to make sure that there are textures to work with. The terrain in the kit doesn't use any terrain textures. Terrain -> Set Resolution, and give a higher resolution to Control and Base textures. Something like 256x256 for a 256x256 terrain.