0) Please read
http://www.lns.cornell.edu/~seb/celestia/addon-intro.html for a description of one way you can organize add-ons.
1) That little square is a Mark. It's a recent addition to Celestia and does not seem to have made it into any of the menu options available under Windows. Type a Control-K to toggle it on and off. If it's on when you exit from Celestia, it'll be on when you start it up again.
You can "permanently" Mark the object that is currently selected, but only for the duration of the current run of Celestia, by using the right-mouse-button pop-up menu.
2) The Hipparcos satellite was used to measure the parallax of selected stars. Those are the only stars available in Celestia's binary star data format. The people responsible for creating those files for Celestia are frustrating over how to improve them.
The relative positions of many stars in many open clusters have been estimated using other methods. As yet, nobody has translated any of those catalogs into STC or binary catalog files that Celestia can use.
3) There are three texture directories: lores, medres & hires. Image files with the same name can be put into all three of them. Use the keyboard commands "r" and "R" to select among them. "R" = display the file that's in the next higher resolution directory, "r"= next lower resolution directory. Celestia starts by looking in the medres directory. Delete the files you don't want to see. Only the remaining ones will be visible. E.g if only the hires version is available, that's all Celestia will show.
4) I'm not quite sure what you're asking. The name you specify for a Nebula, OpenCluster or Galaxy in a DSC file does get shown.
At the moment, only stars can have more than one name for the same object. However, you can define multiple objects with identical positions but with different names.
The names of all objects in all DSC files appear when you enable rendering of galaxy labels, although this may change. Also, all DSC object labels have the same coloring. There currently is no way to distinguish among them by specifying a special color or different position offset for the labels of particular objects.
I hope this helps.