1) You asked about having different Opacity on creation(initial opacity). You're however disciribing the timeout setting. Is that what you mean?
2) Spray cone is essentially the angle. However if i'm still understanding you wrong, then there's 2 other settings that help you randomlize the angle - Angle randomizer in Lifetime settings and X and Y randomization in the Initial.
3) There's almost no performance difference between using 1 Object with a Spray Rate of 50(particles per second) or 5 objects with a Spray Rate of 10. If you want to change common settings for particles, group them up in Families. You can change the settings for the whole family at the same time!
4) No it doesn't create extra events. It's extremely simple.
-> On (Desired Condition) Set Rate to 0.
-> When no particles on screen > Destroy Particle object.
I recommend you learn how to group events and use families, it will make it extremely easy for you to handle projects with lots of events.
That is perhaps the biggest challange for many indie game devs - staying organized.
Also the Particle object really already does all you're requesting.
I suggest you read up scirra.com/manual/135/particles here and see for yourself : )