1. Depends on the mission really. If you have SEAD flights looking for SAMs you might want to know where they are perhaps. As you found out though, you can turn off, turn down or simply change the channel on your radio to stop the calls.
2. Usually not, you should probably already have your mission orders in hand before even taking off. Now, if you're just playing on call CAS, then definitely listen to the calls and try to find them.
3. You can use the OFFSET page of the CDU. It's currently broken though in that it adds the magnetic variance to the end display so everything is usually a few degrees off though. Hopefully that'll be fixed with the next patch. Search around the forums, someone has a step by step PDF with how to use the OFFSET feature.