1) Not so long as the car is behaving itself, especially if the motor already has an EMI filtering board on it, as recent slot.it cars do. But, if the motor is without that PCB, and/or the car behaves erratically, it's best to install the ferrite man, paying close attention to the proper way to install them (as seen on Scalextric cars). There are plenty of cars out there that run fine without them, because they have relatively clean running motors. As long as you remember that a given car does not have it, and are prepared to install it should the car misbehave, you can leave them off. Personally, I install them on any car without the PCB as a matter of course, so I don't have to deal with it later.
2) The plastic bit is part of the clip to help hold the chip in. The hex wrench/key is for adjusting set screws on the car, such as those that hold the wheels and gear on the rear axle, or that set the ride height of the front axle... or in some cases, that hold the braid/wire into the guide.
3. If the guide has set screws in the top of it, just unscrew those. You can then pull the wire out, and pull the worn braid out to replace it. You'll want to pick up a meter of braid. Lean toward thinner/lighter braid if you have a choice. Put the new braid in, put the wire in, and re-install the set screw. Some cars will have an eyelet on the end of the wire that just presses into the top of the guide, and this pressure is what keeps the braid in place. The first few times you do it will be challenging, but you'll get better at it.
As for your final question... read lots of posts.