For the first symptom, see Internet Explorer bookmarks not imported when alias is used.
For the second symptom, the solution is to drag the original file into the window. This document will be updated if that behavior changes.
The third symptom is by design. Allowing Safari to resolve this particular alias could affect the time it takes to open the application.
Advanced technique
If using an alias is very important to you, you may work around the issue by using a symbolic link instead of an alias. Because this is an advanced technique that is not recommended in all circumstances, Apple does not provide technical support for it.
Important: Information about products not manufactured by Apple is provided for information purposes only, and does not constitute Apple's recommendation or endorsement. Please contact the vendor for additional information.
Document 17159, "Locating Vendor Information" can help you search for a particular vendor's address and phone number.