1 - Holding L will boot you into gateway menu (the one where you can back up your nand format emunand etc) if you don't hold L it was just boot into gateway mode as usual.
2 - .3dz is for playing online, there's a thread about it, I'm sure you'll be able to find it as you seem to have setup well enough
just have a quick read if you want to go online it's nothing to confusing.
3 - There isn't a high chance of you getting banned, you have the same amount of chance as everybody else does, because most people are sharing the same headers. Headers are whats required for the game to go online, in order for the rom to go online it needs to read the header and it will only read the header if it's .3dz format. Don't worry about getting banned! IF it happens it happens, I personally think were very far away from being banned as nobody has come forward and said they've been banned, weve been able to go online for a while now so don't sweat it.
4 - if you start a save file on a .3ds rom and decide you then want to play it online, so therefore you have to change the file format to .3dz, you will lose your previous save. so just to be on the safe side whenever you get a game that can go online, just name it .3dz just incase you ever do want to go online, that way you won't lose your save.