1. They should do it for money, but you may as well DIY, as it's so easy.
And it may not be BETTER than a K&N, but it'll be safer.
2. I run Millers 10w60, which is my own PERSONAL preference, but there is a few different oil's you can use. Those sound ok to me. Nobles might not fill your car with different oil though, but that goes along the same lines as the filter. Shouldn't charge you for using their oil, if you don't use it though. Their own oil for the box, will be fine.
3. They'll probably make a note of it on their checksheet and let you know about it, when your picking it back up.
4. Insurance is up to you. I use Norwich Union, but i have my ways.