Do units get locked in combat?
No. Close combat is a special Attack Action, not a game state.
Can units shoot into combat?
Yes. Friendly units do not obscure line of sight. Enemy units provide soft cover.
When a unit has more suppression counters than models, does it make an immediate out of turn retreat?
No. The next time that unit activates during a Unit phase, if the unit fails to throw off the suppression, then they break.
Is it right that infantry making a march move can move 12" through walls etc?
They can't go through walls of buildings unless there is an agreed upon in/out, such as a door or window. Fences and such can be climbed over during a March Move without impacting movement. Normally it is Difficult Terrain to climb over a fence and only allows a 3" move.