1) If you buy it in HKG then you will pay the HKG price. Buy it in Thailand.

2) In that part of the world, the benefit would be that you would probably get a discount if you pay with cash. Worth it? There are some downsides as well such as misinterpretation of the rules and occasional difficulty in changing flights. CX and AA are best at issuing the tickets, but given you're not in the US, I would use CX.

3) You didn't ask a question, but if you're wondering if you can access C or J, the answer is no.

4) You can go straight to the airline, but some airlines have been known to not like touching tickets issued by TAs and plated by another airline. They usually relent, but they can get touchy about it. CX doesn't care and AA doesn't care.

5) You have to end in Thailand, which IIRC is either Bangkok or Phuket. Your itinerary is fine. Your question involving DEL is really up to whoever tickets it. Technicallly, what you're talking about is fine as long as you're under 24h, but there have been reports occasionally of things like that being denied, no doubt because the denier doesn't understand why the person would do something like that.

6) Never had an E-ticket so I don't know.

7) You can buy extra segs in your continent of origin, but it doesn't add to the 2 stop limitation. So if you started in BKK and wanted to visit Manila and Seoul, you could (and I think would have to) buy extra segments, but you still have only two stops. You can stop in the same city again with certain restrictions. The first is the two stop rule. The second is that you're not allowed to reenter your country of origin after you leave it. So if you start in BKK, when you get back to Thailand, your trip is effectively over. But if you start in BKK and you're in the US and want to make three trips between JFK and MIA with stopovers every time you land, more power to you.

Advice: Don't bother trying to maximize in your continent or origin. The rules are set up to specifically keep you from doing what you want to do. Just my two cents.