Yes, when they "go to" Cambodia or Vietnam that becomes their current location so they can apply for their DTV there (assuming there is no requirement to be a long term resident to apply as there can be for some Embassies and/or some passports).
There is no mandatory insurance required for a Non-O so you are free to select whatever suits your needs not one of the prescribed policies as required for a Non-OA
It means you don't lie when completing the application ("Current Location") which could result in rejection and the loss of your 10k+ application fee. Some take this risk then have a 5 year Visa that was obtained fraudulently.
That's because many use VOA incorrectly in posts so people arriving with passports that get Visa Exempt entry see the signs for the VOA counter at the airport and join the long queues
You can get your Non-O before arriving in Thailand which makes opening a bank account easier or, with a Canadian passport, you can use the Embassy income affidavit method as proof of funds for your Visa or Extension of Stay
No entry stamp means you must stay until the exit date stamped in your passport, that is the final day you can leave before going on overstay and becoming illegal