1.1 The Pan'ku Box was originally used as the key to open the portals that were used to banish the demons. Keys can also unlock doors, the immortals hide the box so that way it couldn't be used to do that.

1.2 I don't think the portals themselves were permanently locked, rather the box could not be used to open the portals again because with each use it lost power. That's my theory anyway.

2.1 Again, the box was only used to open those specific portals, other people/demons with enough time, power, and knowledge could most likely figure out other ways of doing it.

2.2 The portal was being used to try and suck people into it, that may have prevented them from crossing through. Alternatively, they may not have been near where the portal was in the nether realm.

3.1 Hard to say, my take was the only reason they could do that was because he didn't have a body. In his Astral form he was vulnerable, but it was heavily hinted he was one of the most powerful of his siblings so they may not be able to now that he's back to full power.

3.2 If you mean how did he escape after his and his siblings original defeat, my guess is it was through a similar method as what Daolon Wong did in season 3. Shendu left instructions to some of his most loyal subjects who grew him a new body, he then used magic to launch his astral form out of the nether realm (likely sacrificing that body in the process), and was reborn.