1.) Priority is a numerical field and you can use whichever number system you would like here. For work items 500 is the default priority, but this can be changed with customizations. Risk Rate is a calculated field that is the % Probability of the Risk happening multiplied by the Impact. This is only available for the Risks object. Lastly, Importance is a picklist with 4 default options, but like many aspects of Clarizen is customizable. You can also easily create your own fields to determine priority and importance.
2.) I would do this by creating a custom picklist field (drop-down) and adding 3 values with red/yellow/green icons. I would also recommend hopping on an advanced webinar to learn how you can use business rules to automatically set these values based on various criteria in the system ( http://www.clarizen.com/live-demo.html).
3.) Likely you are talking about the risk fields for the Risks module. These do not carry over into Work Items (Tasks/Milestones/Projects). May need more specifics on this one.