Hey dude! Glad to see you've finally gotten into the Android world =D

For your queries:
1) As far as I know, you cant manage the dictionary for the stock keyboard. If you're not gonna use the Chinese or the Thai input, I suggest you try this custom keyboard. It's like a beefier version of the HTC keyboard (EU version) and it has a tonne of features which include dictionary management. Desire users should download and install the 'Hi-Res' version. http://forum.xda-developers.com/showthread.php?t=663608 <I've written a guide for this over on the Legend thread>

2) Yes, it uses the GPS but I believe it can also use GSM networks to find your location. To use the GPS, you'll have to be in an area with a clear view of the sky. It won't work well or at all when you're in buildings.

3) Apps that aren't running but are shown in task managers are just placeholders. Nothing more. They don't run any processes or suck up any battery (most of the time).  The OS manages the apps by closing them (completely) only when the extra RAM is needed. Task killers offer a quicker and more controlled way to control how apps and services run on our phones. They don't exactly do much in my opinion but they are handy to have for closing some stubborn apps which continue to process a little bit even after exit.
Oh yea. HTC Sense is tied to certain apps such as friend stream and mail so ending these processes might cause Sense to restart. This will cause a load screen on your home page for a few seconds. So...do remember to include them in your task killer's ignore list.