1) well, a *complete* rebuild is usually only necessary if you got really messy folders otherwise scanning the rompaths is usually a better way to go. The rebuilder does not rebuild chd files (yet), it only rebuilds roms.
If your goal is to create one rompath with all romsets and chds in it...ok, fine...a rebuild operation may be a good start. The rebuilder does not care if files are archived (zip, rar, 7z) or are decompressed...if it finds something valid (in terms of hash matches) it creates all instances of the match in the destination folder (using the correct name then).
So you can do this....and move the chds afterwards manually.
Regarding CHDs, you need to decide how to store them. The 'semi-official' way (i.e. a rompath subfolder named after the set, similar to decompressed sets) or the 'semi-not-so-official' way, keeping them at a rompath root. For the latter option, you need to enable the support in cmpro's scanner advance option.
2) sure it is, since your maintenance is done by cmpro, you don't really have to care
There are some people who like to use 50+ rompaths (split by systems for example), but even there you got chds and roms in one and the same rompath. The only question is, which chd storing method you're prefering. Personally, I prefer the semi-official method.
3) Blue = "clone" (chd/rom), Black = "parent" (chd/rom). It simply indicates that the missing file is a clone chd...and actually if this is listed it means that you should recheck your settings...because...why does it list a missing clone chd? If the parent chd is missing too, it should hide the clone and if it only lists the clone it means, the identical parent was found...sounds a bit weird. What you should check is: Profiler->Options->Parse disk merge tags. That option should be enabled to avoid having obsolete chds.
4) There is no problem with the chds. Maybe you store them incorrectly (if kept in a rompath root, you need to enable Scanner->advanced->allow chds on rompath root) or as mentioned in 3), check the Profiler->Options->Parese disk merge tags option. (Enable it!). And of course don't use 3rd party dats, instead use a direct (official) MAME import for your profile.
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