1. No, your stats only change as you use talent points and put on gear.
2. I'm not sure about costumes since I haven't done that but I believe you can have "costume" slots as I've seen at least one person change her costumes in front of me.
3. 1-5 MC Tutorial
6-13 Desert or Canada
14-18 MC
19-28 MC, Desert or Canada
29-31 MC or Canada
32-33 Monster Island
34-38 Monster Island or Lemuria
39-40 Lemuria
There is a thread on the Champs forums where a guy has posted details of levels for MC, desert and Canada.