1) If you're missing codecs, your RP doesn't have all the information it needs to play the files properly. You'll need to install more codecs.

2)See above

3)See here for a guide to the different speeds. It's better for the network if you set your true speed within LW but some people do cheat Yes it will download if your speed's set to T3.
Speeds

There's a lot of info here about how to set up your LW for best performance
Configuring LW for best performance

I don't know about getting more codecs for your RP unless there's a popup telling you which codec pack you need.???.Here's a link to many different codecs & also VLC player which is free, comes with built in codecs & plays just about anything
Codecs & VLC