1. As far as the requirements check with your local code official for fire and building code requirements. They will probably tell you that the chimney will have to go past the roofline due to the high concentration of CO2 that will be discharged from it. I have seen people that have made chimneys out of flue pipe so I would assume that is exceptable.
2. Anthracite is dirty. I don't think anyone will dispute that. Most of the dust comes from transferring the coal from the bin to the hopper. To alleviate this problem you have to simply keep the coal wet before you move it. This will not effect the burning characteristics of the coal but may give off a brief sulfur smell. Another dirt problem is ashes. Just like anything else the more you clean it the cleaner it will be. As far as a black dust in the house I have never had that. Most dust and dirt is confined to the furnace area.
3. If I had a garage or ouside building to put mine in that is what I would have done. It will keep the unit away from the living area and you wouldn't have to keep going up and down steps everyday to take care of it. I'm sure it would make the delivery man happier also. Your welcome coal man
4. I'm not sure what your asking with your 4th question. I can say I have a K5 boiler from keystoker. It heats my 2500 sq ft home, does the domestic hot water, and I'm sure if you wanted to add it to a pool heating system it would do that also.
Good luck and you won't regret going to coal. It is cheap and only requires a little labor on your part. It is well worth the investment.