Sounds like you have some fun trips coming up.

1. You can ask Delta to book trips 'continuing' your travel in the EU. Say you have to fly from JFK to AMS and then want to continue on to BRU (Brussels), they can book that all in one go.

Otherwise, yes, there won't be Delta-coded flights within Europe but you can still earn Skymiles and segments on any Skyteam partner airline within Europe, of which there are quite a lot. If you prefer to earn some miles with AF/KLM (or segments) you can sign up with Flying Blue, their frequent flier program, but note that you're unlikely to get any status from these few flights.

2. Yes, SkyTeam Elite Plus status will give you benefits on all Skyteam member airlines. In Europe you will get priority checkin areas, priority boarding, baggage handling, the works. It'll also likely be put on your boarding pass, and with Air France and KLM you can have a free pick of preferred seats that are usually paid for.

3. There is no status matching, but like I said before you do get some good benefits being a PE with Delta.