If you choose the max level or cores and try to mine both - the warning is there to tell you not to that. On coins that can be merged-mined, select the main coin your going for and then in the sme row youll see a dropdown for the None, FCN, or MCN. Choose one, and it utilizes the same number of cores you put toward the main coin.
#1 needs some discussion... I had issues in 5.0 with merged mining shutting offifit wasnt the active window, but I think it was error specific to being on the Ubuntu variant I was on... but not sure since I forgot to bring it up