1. No, that code would have to go in a child theme. If you are not experienced with that then I would suggest using translation instead. Details on how to translate the theme and plugins can be found in the documentation section of the website.
2. The privacy page is the standard way to set the page in WordPress. You do not have to use the example content given by WordPress, you can just select whatever page you have already created and the link will then be correct. I will also add a note to our developer list about adding a check to make sure a link is selected before adding this but it will likely not be added until next theme release.
3. Again, that should not be the case, but without more information it is impossible to say. If you require support please use the form on https://theme-fusion.com/support/submit-a-ticket/ as the forum here is not an official method of support.