1. Doesn't seem to unusual to have them shipped under pressure. A handy trick is to store them under pressure, so that when you go to use one you have that reassurance that it's still holding pressure. If they're coming shipped that way, that's a nice touch.
2. Disassemble the keg and fill it with 3 gallons of PBW solution. Let it soak for a bit, then flip it over into a bucket to let the top half soak. Finally, scrub it down a bit and rinse. I like to go after the threading for the posts with a toothbrush. A dip tube cleaning brush is nice to have here, too. Don't forget to check all the o-rings and poppets and replace them as necessary.
3. Yep, just use a box wrench so you can work around the pins.