I don't have AVG on this computer but I've used it on a lot of other computers so I'll try to remember it.
I'll start with question 3 - the paperclip icon shows that the e-mail contains an attachment. The attachment is likely to be a message placed on the bottom of the e-mail saying that AVG checked the e-mail and nothing bad was found. I'm not sure whether AVG checks plain text e-mails without attachments (since they are only plain text), so this may be the reason for some e-mails being checked and having an attachment to show this.
As for question 2 - could it be that this occurs when your also sending e-mails rather than just downloading them ?
Not really sure about the other 2.