1. No ..Reader acts as a sandbox and you cannot pass things in or out unless you use something like a DB connection or a soap connection.
2. Yes Web services are supported. Secure web service support was added in version 9. If you are using Reader to render the forms, Web Services will not work out of the box. You must Reader Extend your form using LiveCylcle Reader Extensions server to allow this functionality to be used. Note that extending it in Acrobat will not do it!
3. The warning is indicating to the user that this PDF is going outside of their domain and making sure they are aware. If you use a secure web service then you will be prompted for credentials. There is a checkbox on the warning that will ask you if you will always trust this site. If you say yes then you will not be prompted again until you start a new instance of Acrobat/Reader.