1) No, nothing in dreams can hurt you and...
2) it is nothing out of the ordinary as far as sleep cycles go
3) If you knew that it was a dream then you were lucid dreaming
4) Start a dream journal. Lay in bed after you wake up with your eyes closed and parts of your dreams will come back. From those parts you should be able to piece it back together
5) You've probably woken up and kept your eyes closed due to paralysis. It's not normal, but not abnormal either.