These are good questions. I can answer a few of them.
As far as unmanaged code running on Windows, it will work as it always has. That is, there will be no special treatment as far as security warnings being invoked when unmanaged processes are started (there's plenty of unmanaged code in Windows after all, including
Longhorn). In the Longhorn timeframe and certainly beyond that there will be less of need to be unmanaged when writing Windows applications. In fact, having to be unmanaged will be the exception not the norm, as it is today.
Kernel mode components (like device drivers, etc) will continue to be unmanaged in the Longhorn timeframe. However, a managed kernel is far from a fairy tale and we are actively thinking about this. It requires changes in hardware, not just software.
As time progresses the CLR will sink deeper and deeper into Windows. In Longhorn, it is already pretty deep (Avalon, WinFS, etc).