Yes. We had a problem setting Roku up because it asks for the password shown on the AT&T U-verse modem. After trying several times with no success, we decided to enter the "key", also on the modem. Just enter the "key" and it will activate.
I think you're talking about the Roku 1, which had a limit on the size/number of channels installed. The Roku 2's have no limit, they will download a channel as necessary if it's not already installed in the unit's memory. Some units have a slot for an SD card to install more memory, but that's usually only necessary if you have a large number of channels that you use frequently.
Yes. You can set up Roku outside USA, but the channels selection is limited unless you set it up with a US account. Also, there is a workaround to watch US content in Roku through unblock-us.com/189.html