Q1. If you right-click on a panel, you can "Add to panel" several things.... including a launcher. Similarly, you can right click the desktop and add a launcher. No, you don't have to create a launcher always. You can do it, or not.
Q2. Yes
Q3. Right clicking, as I said. Actually, launchers are text files... for instance, this is the content of my Desktop firefox launcher:
lubuntu2@PORTATIL:~/Escritorio$ cat Firefox.desktop
#!/usr/bin/env xdg-open
[Desktop Entry]
Version=1.0
Type=Application
Terminal=false
Icon[es_ES]=firefox
Name[es_ES]=Firefox
Exec=firefox
Name=Firefox
Icon=firefox
Q4. No, it's not ubuntu's exclusive. And I guess you're asking about the format, not the "idea", as you said, because Windows has its so-called "shortcuts" so that you can start an application .
Q5. You can add other apps to Docky, configuring Docky itself. In fact, that an application appears in Docky or not does not depend on the application itself, but on Docky.
Best Answer
http://gnome-look.org/content/show.php/DockbarX?content=101604 this is what you need. nit also has extra themes enjoy.