I will try to answer this as best I can.
1a. You are engaged to 2 monsters (A & B). You attack A, which does not have Retaliate and either: hit, dealing your damage to it, or miss, no effect. Or you attack A, which does have Retaliate, and either: hit, dealing your damage to it, or miss, and take damage from the monster. Monster B, does nothing in any of these instances until the enemy phase.
1b. You are engaged to 2 monsters (A & B). Another investigator attacks A, which does not have retaliate, and either: hit, dealing their damage to the monster, or miss, dealing their damage to you. Or another investigator attacks A, which does have Retaliate, and either: hit, dealing their damage to it, or miss, dealing their damage to you and monster A deals its damage to you. Again, in all instances, monster B does nothing until the enemy phase.
2. If you, or another investigator, deals enough damage to monster A to kill it, then the monster dies and deals no damage to you (or the other investigator). Monster B does nothing until the enemy phase.