1. It's shift-enter if I recall correctly. No idea if the game tells you, I just happened to try it from that being a similar key combo in other games, so no worries about not discovering it yourself.
2. No idea, haven't tried Skirmish much myself. Custom games tend to be full of actual people most of the time these days, fortunately, so it's probably worth your while to try them until the auto-matchmaking is better.
3. You earn your favor points individually that are listed at the end of the round, the other DG's earn what's listed for them. You can "have" multiple favor items in one sense--that is to say, once you unlock one by purchasing it, it's yours forever (in a working system). However, only one Favor item can be equipped per game.
Some other helpful hints that aren't obvious at first: you can attack move by using alt-right click if you want to (although I haven't seen too much use for it yet.) You can center the map on your Demigod by double-clicking your portrait in the middle of the screen, single clicking selects your DG. If you hit C it brings up a list of stats for your character, mousing over the individual items can give some handy information, for example mousing over your damage calculates your DPS (Damage Per Second) for you. Quite useful for comparing various items and such.
And don't feel stupid--it took me about five days before I realized there was a second tab to the Favor items menu, and some people still haven't noticed that. Unfortunately this game's lack of tutorial and "uncluttered" UI mean that a lot of info can be overlooked, especially if you're just trying to dive into the action!
Hope you enjoy the game!