if your key already used with other domain it will have to unlock first in case or single license, and if you are using developer license or business license, it need to be activate. so please mail your license key to support@wpdownloadmanager.com
yes, you can do all of those, to add picture, while adding new package or editing a package, add main preview image. also you can show/hide image or any other info, it totally depend on template, here is template details http://www.wpdownloadmanager.com/docs/integrated-templates/
here the manual is only for pro. if you are using free version, then you simply need to create package, then use tinymce button with your content editor to insert short-code, thanks
wpdm pro enqueuing jquery properly with wp standard, if other plugins follow wp standard then there should be no problem but still you can remove jquery from wpdm pro, simply comment js enqueue lines from /download-manager/functions.php
