If you're meaning the tail lights (red lights), you'll have to go manually turn them on in the rear cab (this is a known issue and it still hasn't been fixed). Just use the CTRL and + keys to switch cabs quickly.
No, it doesn't. Take SPG for example when you have bankers at the rear of the train. The CTRL+ shortcut only lets you in the first 2 cabs at the front.
CTRL+ switches you between cabs in the particular end of the train you are currently in, CTRL- switches you between ends of the train So a consist of Loco1 - Loco2 - wagons - Loco3 - Loco4; CTRL+ will switch you between 1 and 2, or 3 and 4 (depending on where you currently are) CTRL- will switch you between 1 and 4, or 2 and 3 (not quite 100% of this, it could just take you to the lead loco of the pair at the other end)
It does for me, be mindful of which cab end you are in as I think + will take you to cab B and - will take you to cab A, I’ve only used the shortcut in the 465 & 395 however.