1. Just use and enjoy them!
In my opinion, perception of sound before and after having listened to music with a new headphone* for at least 10 or 20 hours change a lot more than the headphone itself (burn in)
*I mean new for your ears (not neccesarily brand new headphones)
2. I guess no. I don't have much knowledge about the DAC in your Clip + but I think it will do the job just fine. You can build a desktop setup with a separate DAC in the future if you want to improve your setup a little bit, but this is by no means needed.
3. Many come to mind.
.Marantz Hi End Audiophile Test Demo 13th
.Diana Krall -- Live in Paris
.Nils Lofgren -- Live Acoustic
.Hugh Masekela -- Hope **
.Sophie Zelmani -- The Ocean and Me ***
.Arne Domnerus -- Jazz at the Pawnshop [XRCD]
.Beth Gibbons & Rustin Man -- Out Of Season
.Anna Netrebko -- Souvenirs
.Anything from Chesky Records
**In particular the song Stimela (The Coal Train). Just Amazing!
***This is an amazing album, really intimate sounding, but it can sound a little bit sibilant if paired with bright setups.