1) dx9 has more bloat in it. Less efficient code. Your vid card can handle it just fine, but dx81 has much less "features" in it so you don't get as much of the behind the scenes stuff which creates more vid card "lag"
2) All 3 are in my autoexec.cfg
3) They enable the multimedia functions on your processor, or rather, they enable HL2 to access them, creating some load-sharing for graphics related processor calculations. Basically, it makes your processor work more efficiently. I run a P4, so I have all 3 enabled, but if you have r_sse2 "1" then you don't really need r_sse1.
4) UrK?!? (frustrating isn'tit?)