Only things that aren’t actually used in the model space will be removed. There’s no danger of losing stuff in the model space.
No. You need to open the component or group for editing and apply the material to the faces. Best practice (except in a few rare cases) is to paint the geometry not the container.
There seems to be excessive nesting of groups/components. That can make it more difficult to make changes to the geometry inside.
As for Tags, you haven’t used any tags. As Steve mentioned, you could be using tags to help you control what is visible and what isn’t. But before you start using them, it’s important to understand their use. Make sure that you leave Untagged as active at all times and that you leave ALL edges and faces untagged. Only components and groups get tags.