1.) No, you would need to have an existing sprite object, but you can load the graphics from a file if you are thinking of putting modable graphics in your game.
2.)I think there is a plugin to provide resource access on the forums, I've not used it however. The built-in resources only work for the XAudio2 plugin (eg: only sound works from resources by default).
3.)I am doing something similar to this in my game, I created a bunch of blank animations and just loaded graphics into them at run-time. Increasing the number of graphics that can be loaded can be pretty easy, you just add more blank animations. You can call animations like this "Animation(LoopIndex)" when setting an animation meaning a for loop from 1 to Sprite.AnimationCount or something like that will loop through animations (eg: Animation1, Animation2, Animation3)
Then you just load some graphics into each animation.