1. The Apple Music sync is not fully working yet - won't post more on that here/now.
2. That's because you haven't allowed rekordbox access to the removable drive; open the System Preferences > Security & Privacy > Privacy tab > Files & Folders - click rekordbox and allow it access to removable volumes / devices. If rekordbox is not on the list, click the + to add it.
3. Probably because of 1 & 2 above.
4. See #2.
5. Again #1.