Hi,
1. Filters based on different custom fields are not supported. Filters based on one multiple value custom fields are now supported.
2. If you already have categories setup like you want for your filter, then use the categories for your filter. Otherwise, use a custom field. It's more flexible and allows for more things to be done.
3. Yes, you can import the value of custom fields for the products. And likewise, when you export the products, you can see the columns relative to the custom product fields in the resulting CSV.
4. Yes, mass actions can work on custom product fields.