They are shown in an alphabetical order by default.

This is an upstream issue, as far as I can tell.

Yes, you can: [link to local filesystem](file:///path/to/file.pdf)
Please note that these links won't work on clients where the file is not available at that location. e.g. the file is available in this directory on your desktop, but on Android the file doee not exist or is in a different path.

These have to be answered by @laurent.

However, docx is not an open format, thus I highly doubt it. Export to HTML should be possible, PDF is already available.