You are asking for general advice in a very specific visa group and providing no info. You'll get better responses if you ask in one of the general Thai visa advice group where you will get more mileage about different visa options. Then you can start your research as to what suits you best.
You need to check with the embassy you apply at. Some, South Korea is one, state that you must remain in country until the visa is issued. In another group a person was denied in Poland after they had already left the country. Embassies can ask for additional proof you are still in the country or even ask you to come in to the embassy for an interview.
Yes, they stamp your passport as usual when you arrive and show your DTV. You would have to leave and re-enter Thailand to activate the DTV.
It actually depends on what embassy you applied at. Some, South Korea being one, actually state that you must remain in the country until your visa is issued. According to other posts, Poland has also denied visas to people that left the country before it was issued. As