First question, depending on the LEDs in question, yes, funny things can happen when you first fade up the first scene. For example, if using the marco commands for color/programs, when you first start, it has to fade through the other before getting to where you want it. The fix for this is easy, write a scene before your first, and set the LEDs with the dimmer channel off. The next scene, keep the LED settings the same, but bring up the dimmer. This should solve the problem. You can also set the fade time for the first scene to 0s as well.
Next question, depending on the type of console, one or the other. So I believe you answered your own question, though I am sure you can bring stuff up manually while run a show, so it won't fade up or down with the scenes.
As for the last question, I am not familiar with that console. Maybe John or jingles can help you with that.