my 2 cents:
1. Yes stands for low, medium and high gain. This is useful if you own different headphones with different impedance/ sensitivity. In general my experience is the higher the gain the higher the noise floor, so I always use the lowest possible gain. However some headphones may not be 'loud' enough on low gain and then you can increase the gain accordingly. Then again some people like the sound of high gain...I suggest you try it out and see what setting you like. I don't own the F9 iems so can't help you with that. Based on this review
https://www.head-fi.org/showcase/fiio-f9-hybrid-3-way-in-ear-monitors.22609/reviews the reviewer commented at the end that "the volume requirements of F9 are within what most smartphones and tablets can output", so maybe start with LdB.
2. PO is phone out, LO is line out.
3. There were a few posts on this in this tread, personally I can't hear the difference between these filters, some folks can hear the difference maybe able to pitch in.