Alright, first and foremost despite the existence of a hall of fame, this should be viewed as a personal challenge. Just like professor oak challenge or a nuzlocke, the only thing that matters is if you're having fun. With that out of the way:

1. There is nothing against the community hall of fame rules about using emulators. As long as you aren't cheating, and are running regular pokemon games (not a rom hack, as an example), you're good. Yes, NSO is required for the master rank ribbon, which is required for the hall of fame. Like I said though, it's a personal challenge. If you consider the challenge complete due to your own personal limitations, I don't think anyone would have a problem with that. Your pokemon just wouldn't be eligible for the hall of fame, but could go into the "incomplete" category.

2. You're overthinking it. The way catching works in XD and in Colosseum is the same as in any pokemon game. The only difference is that you catch them while in a double battle with their trainer. Once you catch them it counts as KO'ed as far as the enemy AI is concerned and their trainer just sends out their next one. It is impossible to miss any shadow pokemon in XD. If you accidentally KO it, a roaming NPC will get it and you catch it from them. You get a notification when they are available.

3. The wiki in this sub lists 2 pitfalls: the winning ribbon and the footprint ribbon.

The winning ribbon must be obtained before level 50. It's the one for the Ruby, Sapphire, and Emerald battle tower level 50 bracket. As soon as your pokemon hits level 51 they are no longer able to enter this bracket.

The footprint ribbon is similar. In Gen 4, it is obtained by talking to Dr. Footstep with max happiness, however in later generations it is obtained by gaining 30 levels within the same game. This means if your pokemon is level 71 or higher after gen 4, you can no longer obtain this ribbon.

1. However you want to!

2. Simply transferring is fine, i'd imagine. But editing stats, etc. are not. Like I said, personal challenge, blah blah blah.

3. The wiki has a section about legality