The best thing to do with the Thai embassy in London is, in my experience, just get visas from them. When they offer advice about things they're not actually involved with (Immigration department in Thailand being nothing whatsoever to do with any embassy or consulate abroad) is to just smile, then immediately forget anything they said.
They are the squirreliest of squirrely people in there and seem to think that they are a law unto themselves, and expert in everything.
If it's with a company like Air Asia you would need to double check with them. They're a point to point airline and sometimes they need you to get your bags and check in again for the second flight. Worth a phone call. ;)
That depends on how you buy the tickets. If you buy them individually, the first would be a domestic flight and you wouldn't go through immigration. If you buy one ticket which has two flights, the second would be a transfer and you would go through immigration in Chiang Mai.
Wherever you are stamped out of the country by immigration you have officially left the country. So if that happens before midnight on the 27th then you're ok.
Which is why I commented in the first place. You said that the Multi-entry visa would give you 60 days and then you were going to extend it. But you don't need to as it's a multi-entry.
Anyway, boarding the plane with a visa is fine. It's only without a visa that you need a return, or onward ticket in the 30 day period that you would get stamped in for without a visa.