1. No, those files which would be "redundant" are automatically skipped by Backup Exec since it knows they don't need to be backed up.
2. Sort of. The First Storage group backup includes all of Exchange, while priv1.edb contains the data of a lot of, but not all of Exchange. You can imagine the First Storage group backup more as backing up "Exchange", not just the individual files themselves. You can't restore individual files like priv1.edb.
3 & 4. You need to point your restore at the Restore Storage Group, you can't restore it to a file location, as it's not a file in the normal sence. When you created the RSG I think it would have created the relevant edb etc files at that point, and those files will be populated with data when you do the restore. In a DR situation you'd want to do a complete restore (see the admin guide for detailed info) of your system and Exchange. The RSG is only really relevant for restoring part of an existing working Exchange installation, eg recovering a mailbox, folder or e-mail which has been deleted.