2. Yes. The windows treats both networking adapter as seperate entities not grouped into one. You could treat both adatpters as seperate, but using both opendns for both adapters and locking it in is fine and should be a trouble or cause problems.
3. Opendns probably has that site listed as a bad site and did not give you the dns or the IP and stopped you from going to a risky site. (we told you it was a good and safe dns).