1) Yes, that login URL setting is only when user's use the standard Joomla username and password settings. We have a similar option for Login Redirection URL in the JFBConnect -> Configuration area for social authentications. Unfortunately, that setting doesn't work on a per-instance basis for each SCLogin module. We have an item on our to-do list to allow a custom login redirection for each social login button, but I don't know when that will be available.
2) I'm not sure what why what you're describing here isn't working. Setting the SCLogin module to display for guests should work.. setting it for Registered users only should work.. and you can use different settings in each. With the Login Redirection setting in the JFBConnect component, the SCLogin module for guests should redirect the user wherever you want.. and the logout redirection in the SCLogin module should work fine for any user regardless of how they authenticated.
If you're seeing the "You are not authorized" message, it means just that.. the user is somehow being redirected to a page they aren't allowed to view. That means the Login Redirection setting could be to a 'special' menu item *or* it could mean some other plugin or feature is detecting the login and redirecting the user somewhere wonky. The latter case would be unrelated to JFBConnect, but something that happens a bit.
3) Generally, if CB is storing social registrations, it means that there's a required field in CB set that JFBConnect isn't set to import into. If that's the case, then CB won't allow JFBConnect to save the user. For now, you'd want to disable any required fields in CB. In JFBConnect v7, due out late this month, we have a workaround that allows us to save users even if all required fields aren't saved. It shouldn't be a captcha setting as JFBConnect (normally) supports captcha and we haven't heard of that being an issue.. if you're using some 3rd party captcha solution though, try disabling it to see if user's are properly saved. If so, we can help figure out how to get that going.
I hope that helps!
Alex