answer 1

change 'Emitter velocity scale' to 0.5 - 1 to apply emitter's move speed to particles

answer 2

• 'depth of field' effect is based on distance from camera to object. that distance is taken from z-buffer (also known as camera's depth texture).
• transparent objects (and particles too) doesn't write to z-buffer it's distance

that's why flame is blurred. all you need is to draw flame AFTER applying blur effect. this can be achieved using second camera for flame only and render it after main camera.

also you can draw flame with z-write enabled, but this can make some strange effects at flame edges.

answer 3 (bonus)

• demo: http://zammyart.com/UA/SmallFire/WebPlayer.html
• sources: http://zammyart.com/UA/SmallFire/smallfire.unitypackage

answer 4 (extra bonus)

switch to 'simulate in world space' to off, attach this to emitter, and try to move in game mode.

using UnityEngine;
using System.Collections;

public class AirResistance : MonoBehaviour
{
	public Vector3 ConstantSpeed = Vector3.up;
	public float EmitterSpeedAffect = 1f;

	ParticleEmitter particleEmitter;
	Vector3 lastPosition;

	void Start() { particleEmitter = GetComponent<ParticleEmitter>(); }

	void Update()
	{
		Vector3 newPosition = transform.position;
		particleEmitter.localVelocity = ConstantSpeed - (newPosition - lastPosition) * EmitterSpeedAffect / Time.deltaTime;
		lastPosition = newPosition;
	}
}

Have you tried making your particle emitter create a very large number of particles per second with a very short lifespan (0.1 seconds)? Then your candle will still have some substance to it, but the tail can't possibly get too long, because the particles don't survive very long.

You'll probably need to give the particles some kind of default force as well to make sure that the particles actually travel some distance in their short amount of time.

As for the blurring problem, you could always render your character's arm and candle with a different camera than the one that renders the scene.

For your first problem, If you are using legacy particles, then just untick the box that says "Simulate in Worldspace" from the inspector.

I am unsure of how to fix this problem with the shuriken system(if it even occurs)