1) You bring an interesting point. I think Immunity keyword need an updated Codex entry. Should allow to be targeted but still be unaffected. No damage, no yellow dice, no effect, nothing, but still can be a target. Else this create very weird situation as you described.
2) The X is a place holder more than anything since nothing in the spell effect define the X. So you just cast it for free and then you can pay mana to remove conditions/enchantments.
3) Basically, anytime, except during something, like during movement (you can before or after, but not while the player is moving the card on the board) or during a dice roll (you can before or after, but not while they roll on the table).