Heya,
a quick reply
1 - no nested playlists I believe, but there's folders for organization, and these do accumulate their children songs. Downside is these can't be exported afaik (but you can select all in a folder & create a new export playlist for it - not automatable though afaik)
2 - cue files, yes, otherwise not sure. Don't use it myself, but twiki/documentation should have this covered...
3 - unknown to me
4 - there's some MB auto/DJ plugins that do more elaborate fade in/outs, but MB does have a fade duration I believe in its' settings too.
c.