Pasting from OneNote, I also noticed this, and found a workaround. I often outlined by just indenting and those tabs don’t transfer over, but selecting that text in OneNote and clicking the Numbering or the Bulleting command would change the text to a hierarchical outline that would copy over.
No solution for the highlighting though.
Related to #4, I find this process exhibits a bug: Start at a Dynalist Item. Press Enter, then Tab. (Tab is so the coming items are under the previous item.) Then paste a few lines of text. Rather than use the empty bullet we just opened, Dynalist starts a second new bullet. And then I must go back to delete it.
In general, all the double-newlines in pasted text should probably be converted to single newlines. Think about pasting from webpages. In that context it’s often just <p></p><p>, but to mimic in Notepad, it would be #nl#nl, so the second nl should be suppressed.