Hey there,
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Check this out:
http://www.zbrushcentral.com/showthread.php?92084-Lightbox-at-startup-in-ZBrush-4-(Resolved) -
I#m not sure whether this will help but you can try it:
http://www.pixologic.com/docs/index.php/Tips_and_Tricks#Startup_Preferences -
Saving your tool is not enough. There is a better way to save and thats by saving your whole project. You’ll find it under File / Save as . It saves almost everything you currently see on your screen. So try it out.
I managed to get around #2 by adding a shortcut link to the original folder, which does the job.
About #3, it seems to only save the tool and material, without brush values etc 
Anyway, thanks for the quick response and help!