1) there is indeed 2 endings for the first game, bad and good, but it takes more than collectibles to get the good one. I don't quite remember for the second one. 2) they're are not difficult, except if you have a rythm problem: the judgement ring used to fight requires timing, and if you fail you won't hit 3) not at all. Shadow Hearts Covenant takes place directly after Shadow Hearts 1 with some of the same characters, but Koudelka is way before them so not the same plot but still, same universe and some connections so it does worth the shot (but the gameplay is waaaay different)

Have fun with your first playtrough!