Kallisti,
3/ Hit the Device or Activity button twice.
2/ I am not sure I fully understand the question but :
you can only assign one device to the Hard Volume button per activity.
If you also want to control say the TV volume then you may assign the TV volume buttons to Soft keys.
You can do this via the Remote software by going to Activites and then Customize Buttons, then Additional Buttons.
Therein you can assign any Device command (Volume Up, Volume Down for example)
from any Device.
1/ State the Make and Model of the dimmer to start off with.
Try a similar model of light dimmer and see that may have correct commands.
If you want these soft buttons on every avctivity (we don't use the Device mode much except for troubleshooting) you will need to enter them in each Activity (see the method in /2 above)