1. Looks like the galleries are using the page template that you are using here http://www.mariagephoto.fr/galleries-photo/mariages/.
Go to the image store settings under “galleries” and play around with the “Gallery template”, see which works best
2. I not sure I understand the question, but if you password-protect a gallery the gallery will redirect unless the user is logged in and have the right access.
3. This is an issue with some themes trying to correct html, you can remove the code or contact the theme author for support.
4. This is related to the template issue, the images are set up to work with responsive themes since the image are displayed in a narrow column the images are resizing, once you correct the template you will see the correct image size.
5. Changing the image sizes, will not update the price list, you need to remove the sizes on the price list and add the new sizes. You only have to do this for images sizes.