1- Yes - to the manual monitoring preferences
actually the truth is that you don’t want to use the standard nuendo/cubase monitoring system at all. VST connect takes care of all that internally.
2 - I just leave ASIO on - I think that ‘off’ is old advice
Cycle mode should work too…more or less 
3 - mute on stop - errrr - I’m guessing it mutes the send from the studio when you stop…try it on and off and see what happens - shouldn’t be too difficult to find out. And post back here to share the love