Yes and no. It is crucial that you concentrate on learning and playing one format as your main game, but you obviously can other formats for fun. It will help you to learn and improve much faster and have far better results than otherwise.
It is essential! Choosing the best site based on your specific game can even double your win rate, so make sure to take this step seriously.
Absolutely! If you are playing online, it is a must. Otherwise, you will be missing a lot of valuable information and falling behind your opponents.