In order:
Yes. Yes. Yes. Yes.
Whenever damage would be dealt to, such as a creature attacking you is unblocked, or they bolt you, for example, the damage is instead dealt to Empyrial Archangel. And shroud simply means the it cannot be targeted. It can still take damage.
Lightning Bolt can't usually hit a shrouded creature since it targets. "3 damage to TARGET creature or player". In this case though, it's hitting it 'cus Bolts to your face are redirected to the Angel. It was targeting you, a legal target, so the spell won't fizzle.
Blasphemous Act, for example, can hit a shrouded creature, since it doesn't target.
Those last two lines may be a little unrelated, but it kinda helps futher answer that last question.
EDIT: Anyone do that weekly Sealed Deck Builder on the DailyMTG site?
Me and my friend usually do it and compare decks. It's always the same pool to build around, but we sometimes get much different decks.
Here's the link if anyone cares to try.
http://www.wizards.com/Magic/Magazine/Article.aspx?x=mtg/daily/activity/1074
The sealed deck I built from that pool:
6 Forest
11 Island
1 Augur of Bolas
1 Chronomaton
2 Fog Bank
2 Harbor Serpent
1 Kraken Hatchling
2 Primal Clay
1 Primal Huntbeast
2 Sentinel Spider
1 Sphinx of Uthuun
2 Wind Drake
1 Divination
1 Downpour
1 Fog
1 Rancor
1 Ring of Kalonia
1 Staff of Nin
2 Unsummon