Hi John, I have this SA as do a lot of people it seems and it is very good for the price.
Regarding your questions:
1) Yes, using 50 ohm coax of course. This is how you zero the trace before taking a 'through' measurement of your device under test. You may want to buy or make 2 leads so you can join them together with an adapter to do the zero, then remove the through adapter and plug in your device to measure it. The built in TG isn't powerful enough to damage the front end, so passive devices are safe to measure. You need to take care with active devices like amplifiers / oscillators etc.
2) Yes, one of the intended uses for the TG - combo. Just remember that you are testing in a 50 ohm setup, the response may not be the same if your circuit isn't also 50 ohms. Regarding the units, it is common to use the default dbm when measuring as you are effectively just plotting loss vs frequency.
3) Yes you can, 4m of wire isn't a problem although it won't pick up much at that low frequency? A dipole for 100khz will be 1500m long. Be careful with larger outdoor antennas as they can hold a static charge which can damage the front end.