Yes, all uTorrent versions should work fine.
I believe there'll be a 10% overhead with a VPN, so with an optimal torrent you should get around 90% of that in download speed.
Yes, you can use our proxied servers for that, only the programs which you configure will use our servers then.
No, with the VPN working properly you'll be hidden behind our server. Any benefit would be from better routing to that country's server, maybe you get better speeds on our Netherlands servers over our Lux servers.
Setup is pretty straightforward if you're on Windows and using our custom GUI. Our install guide can be found here
http://bolehvpn.net/serv_bolehvpn_inst-01.php