My understanding is that when different fares are combined on the same ticket, the most restrictive rules generally apply to the entire ticket. Consequently, your full-fare refundable segment would become non-refundable with a change fee.

That's just an impression; I don't have any actual experience with this situation.

Probably having the two segments in the same PNR would indeed reduce your chances of being a security selectee. However, one-way tickets no longer seem to be an automatic selection as they were in the early days of this program.

One-way tickets can certainly be written electronically (on the airlines I've flown recently, at least).