For your failover tests:
1: No impact to the security group is expected, but you won't be able to make any configuration changes on the MHOs.
2: The behaviour you observed is expected, assuming 1 DAC to each MHO. If an SGM loses connection to an MHO but everything else is still up, that SGM will go down. It should be down though rather than lost, assuming you had reconnected the MHO sync cable before testing this.
3: Each SGM has its own MAC on the magg interface, so that part is expected. The other two MACs I don't know off the top of my head, but if you do some packet captures with MACs recorded you might be able to find what they are for/from.