1) The Super CDROM doesn't really "go with the Supergrafx", it goes with almost any PC Engine. The main difference is that it has the Super System card built in.
2) As for hooking your LT to your IFU..yes, you could do this, and if you own this stuff why don't know know already? To my knowledge it doesn't require any cables whatsoever.
4) I think I understand this question...if so, then the answer is yes. The PCE w/ CDROM2 can run any (non-SGX) game made as long as you have the right system card. If you have an Arcade Card Pro you can play every CDROM game except Altered Beast (which requires the 1.0 card, but its shite so you won't want to play it anyway).