Hello,
1) The styles dropdown will present styles that match the items that you select. If I recall correctly, the image styles also style some text, so you will need to select some text and the image, you will then be able to apply the style.
If you want the style just to be on the image itself, you will need to create a style in the xml file for the img tag.
2) Some styles you may find that you can not simply get rid of them by reselecting the area and that you have to edit the source code, it's just one of the limitations. What you may want to look at is - are those styles in div tags or p tags - it may work better in p tags in the latest FCK editor.
3) Not sure I follow, are you referring to the Editor area CSS settings? If you select Dynamic, it loads the CSS from the skin.css file
Hope this helps, I would also recommend you view these tutorials which were created with the latest FCK Editor version: