Outside bits aren't the problem, however terrain is. FPSC isn't really isn't designed to cope with terrain as their are collisions. The way to get terrain is the problem; because terrain is basically a huge static entity (bigger than FPSC can cope with, no matter how low-poly is it), FPSC has trouble calculating collision and so, sometimes, enemies can fall through the terrain unexplainably.
As you should know, FPSC comes with a range of sky-boxes (though you can't change them in the demo version). So, if you want a window to the outside or even a carpark, field, courtyard or garden, it's possible. If you can create custom segment texture, you can achieve alot of diversity; it's even better if you can model in 3D because you can create different segment shapes.
About your other points:
2) Yes, but if they're animated then you may need to re-do the animations in FragMotion or Milkshape.
3) Yes, Higgins tried it but he found it a bit difficult and some issues. It's best to stay with FPSC and make new segments and entities if you want originality.
4) I don't use DBpro so i can't give a comparison but FPSC does have some lag issues however its well documented around the forums the many ways to help beat it. Use the "Search" button at the bottom of every page to help you locate useful material.
Hope that helped,
AE