1) There is currently no way to see which files have been transcoded other than to view the Transcoding tab of the file's properties
2) The failures should be displayed in the Transcoding pane, try scrolling to the bottom of the list to see if they are listed there
3) It would be better to select mp4 or matroska as the transcoding format instead of the default format as this will create a single transcoded file. The HLS transcoded clips can be used, you will need to add the m3u8 playlist file to Mezzmo instead of the individual files (choose to show 'all files *.*' when browsing for the file).
4) Transcoding to mp4 or matroska will create a single file
5) The m3u8 file can be played to play the whole video
6) Transcoded files on the fly are saved the same as pre-transcoded files