Welcome to the turbo club. You will find it as rewarding as it is expensive!!
1) This is not good news. Have it checked by an experienced mechanic immediately as knocking noises can have very expensive consequences very quickly. From your description, it doesn't sound like detonation or pinging but don't take the chance.
2) The sender is electric. Try Pelican for a new one.
3) Yes its common and perfectly normal. If it doesn't go away after start up then it becomes abnormal.
4) That is normal too. The level of assist is quite low in the turbo. You will appreciate it after a while because it provides good feel for lock up and makes heel and toe-ing easier. The brakes tend to be a bit useless when cold too.
Good luck with your new purchase.
