1. Yes, you are stunned regardless of whether you are in Hero or Alter-Ego form. 2. Yes, you would take damage in Alter-Ego form. If a card mentions Hero or Alter-Ego form then it only applies if you are in that form. For example, Assault has a When Revealed (Hero) effect which would only apply if you are in Hero form. The Shocker minion has the text "Deal 1 damage to each hero" so if you are in Alter-Ego form you would ignore this damage.

Mash shuffle all the way. To get a proper shuffle you need to make sure the cards overlap correctly, otherwise you can end up with cards at the top or bottom of the deck that have not moved. This post of reddit explains how to do it properly (note there are three images and you have to click through them): Do it this way 5-6 times and you're done. If on average each pair of cards gets 1 other card mashed in between, after 5 mash shuffles cards will be separated by 31 other cards on average, and after 6 mash shuffles it will be 63. In a 40-card deck that is plenty.

Correct Advance immediately The spell says you are still moving, so all the normal Move rules apply. I get what you are saying thematically, but the spell does not say anything about not engaging, so treat it as a normal Move (see 454 in the Rules Reference).

Are you asking how to tell the difference between the regular encounter cards for each neighbourhood and the event cards? The text side is a different colour — the event cards have a bluish background. They also have a clue icon on them, and text (I think down the bottom) labelling which scenario they belong to.

Yeah it appears that the stands are not supposed to be in the box. There are several reports of this over at BGG: https://boardgamegeek.com/thread/2506508/missing-investigator-stands