If you're using a pay-as-you-go phone, you wont have any IMEI (*#06#). Some older phones, the kind that have the plan programmed into them, also dont have this. But 99% of all SIM-card phones do use it.
I have tried the first (about emergency):
Yup, that number can be dialed even if the keypad is locked. On my cell phone screen (I use Nokia 6020) appear text "Attempting emergency call" then on the phone I heard "You have dialed gsm emergency number, temporalily this facility cannot be used"
I've not tried the second and the third yet.
About the fourth.... Friend of mine tell me something more than that. The provider can also detect where is the location of the cell phone as long as the cell phone use the same provider even if the SIM card is replaced.