Well, you don't need to "worry" about it, but you do have to tell the one-click installer where to put your gallery installation. You can choose to put it into any empty directory, from what you described in item 1 of your post, I'd put it in photos.mydomain.net .
No, you will see the phpMyAdmin administrative interface for all the databases you have assigned to the mysql.mydomian.net host. If you installed it that way, you will be able to see/administer the actual database tables used by gallery, but your actual Gallery admin pages (that you use to manage your gallery installation) are reached through the gallery program itself (check the gallery documentation for the exact url).
Yep! That is always an option