Perfectly normal and expected. The image the pop up is talking about is the file(s) within the docker.img, not the appdata folder. To remove appdata (effectively start the app over again from scratch) you either remove manually or use a tool like cleanup appdata
Implies that something went seriously wrong on your server and the user shares were not available. Diagnostics would have helped here.
/usr/bin/docker isn't a folder available to view over the network. I think you're confusing with /mnt/user/...
/config mappings are hidden by default. Hit "Show More Settings"
Possible, but unlikely that its directly related to Plex, unless you have other underlying problems with your system.