1. It depends. Some horses don't grow a very good winter coat, some horses turn into a yak. Some people clip. My horse doesn't grow much of a coat and loves being warm, so I blanket him.
2. Should be able to. Depending on how the stall area is (if you had those special lights or anything) or if you blanketed inside, the winter coat may not be so good the first winter. My horse went from part-day turnout to full turnout and he is MUCH happier. Stalls are not natural for horses, so don't feel bad.
3. Possibly. Being indoors doesn't take the sound away, so if he freaks out at all over bad weather, he's doing it indoors too.
4. You'll either have to walk out to him or train him to come to you when you call. Start with some grain in a metal can or bucket and shake it - make it loud, and yell his name. If he doesn't come, walk into the pasture and keep it up. Catch, praise, walk back the gate, treat, carry on like normal.
5. Only if there's no deworming or if the water is contaminated.