1. He was not shown being killed. Now whether they left him alive or took him outside and killed him I cannot say, but I highly doubt they left him alive.
2. That one is puzzling. Maybe to shock him into fending for himself and stop feeling sorry for himself. I don't know. Siggy had to play her part in the ruse, but it seems that Ragnar could have posted a guard or two.
3. He was happy to see his daughter, but needed Helga to be far away from what was about to go down.